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Implied Risk Exposures

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Date
2015
Dewey
Institutions financières, banques et opérations bancaires (prêt, crédit)
Sujet
Herding; Risk Disclosure; (Stressed) Value-at-Risk; Regulatory Capital
JEL code
G.G3.G32; G.G2.G28; G.G2.G21
Journal issue
Review of Finance
Volume
19
Number
6
Publication date
2015
Article pages
2183-2222
Publisher
Kluwer Academic Publishers
DOI
http://dx.doi.org/10.1093/rof/rfu050
URI
https://basepub.dauphine.fr/handle/123456789/16302
Collections
  • LEDa : Publications
Metadata
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Author
Benoit, Sylvain
status unknown
Hurlin, Christophe
1724 Laboratoire d'économie d'Orleans [LEO]
Pérignon, Christophe
1738 Groupement de Recherche et d'Etudes en Gestion à HEC [GREGH]
Type
Article accepté pour publication ou publié
Abstract (EN)
We show how to reverse-engineer banks’ risk disclosures, such as value-at-risk, to obtain an implied measure of their exposures to equity, interest rate, foreign exchange, and commodity risks. Factor implied risk exposures are obtained by breaking down a change in risk disclosure into a market volatility component and a bank-specific risk exposure component. In a study of large US and international banks, we show that (i) changes in risk exposures are negatively correlated with market volatility and (ii) changes in risk exposures are positively correlated across banks, which is consistent with banks exhibiting commonality in trading.

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