Becker Friedman Institute

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Banks' Risk Exposures

This paper studies US banks' exposure to interest rate and default risk. We exploit the factor structure in interest rates to represent many bank positions as portfolios in a small number of bonds. This approach makes exposures comparable across banks and across the business segments of an individual bank. We also propose a strategy to estimate exposure due to interest rate derivatives from regulatory data on notional and fair values together with the history of interest rates.

Authors: 
Monika Piazzesi, Stanford University
Juliane Begenau, Stanford University
Martin Schneider, Stanford University
Publication Date: 
October, 2013
BFI Initiative: 
Publication Status: 
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