Since the financial crisis, there has been renewed interest in documenting the balance- sheet positions of financial institutions. We share the important goal of this literature: to come up with data on positions that will inform the theoretical modeling of these insti- tutions, as called for by Franklin Allen in his 2001 AFA presidential address. Adrian and Shin (2011) investigate the behavior of Value-at-Risk measures reported by investment banks. They document that VaR per dollar of book equity stayed constant throughout the last decade, including the financial crisis, when these institutions were deleverag- ing. He, Khang, and Krishnamurthy (2010) document the behavior of book values of balance sheet.
