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.

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