Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks

Our approach is motivated by the statistical finding that the market value of fixed income instruments exhibit a low-dimensional factor structure. Indeed, a large literature has documented that the prices of many types of bonds comove strongly, and that these common movements are summarized by a small number of factors. It follows that for any fixed income position, there is a portfolio in a few bonds that approximately replicates how the value of the position changes with innovations to the factors. For loans and securities, the replication portfolio is derived from detailed information on the maturity distribution provided by the call reports. For loans reported at book value,.

Không thể tạo bản xem trước, hãy bấm tải xuống
TÀI LIỆU MỚI ĐĂNG
Đã phát hiện trình chặn quảng cáo AdBlock
Trang web này phụ thuộc vào doanh thu từ số lần hiển thị quảng cáo để tồn tại. Vui lòng tắt trình chặn quảng cáo của bạn hoặc tạm dừng tính năng chặn quảng cáo cho trang web này.