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Derivatives Usage in Risk Management by US and German Non-Financial Firms : A Comparative Survey

Bodnar, Gordon M. - 1998

This paper is a comparative study of the responses to the 1995 Wharton School survey of derivative usage among US non … derivative usage is most common, followed closely by interest rate derivatives, with commodity derivatives a distant third. In … choice of instruments, and the influence of their market view when taking derivative positions. These differences appear to …

Persistent link: https://www.econbiz.de/10012472108

Book Value Risk Management of Banks : Limited Hedging, HTM Accounting, and Rising Interest Rates

Granja, João; Jiang, Erica Xuewei; Matvos, Gregor; … - National Bureau of Economic Research - 2024

In the face of rising interest rates in 2022, banks mitigated interest rate exposure of the accounting value of their assets but left the vast majority of their long-duration assets exposed to interest rate risk. Data from call reports and SEC filings shows that only 6% of U.S. banking assets...

Persistent link: https://www.econbiz.de/10014512148

Banking on Uninsured Deposits

Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp; … - National Bureau of Economic Research - 2023

Motivated by the regional bank crisis of 2023, we model the impact of interest rates on the liquidity risk of banks. Prior work shows that banks hedge the interest rate risk of their assets with their deposit franchise: when interest rates rise, the value of the assets falls but the value of the...

Persistent link: https://www.econbiz.de/10014250156

Derivatives Markets for Home Prices

Shiller, Robert J. - 2008

beginnings of real estate derivative markets is the advance in home price index construction methods, notably the repeat sales …

Persistent link: https://www.econbiz.de/10012464687

Market Timing, Investment, and Risk Management

Bolton, Patrick - 2011

Firms face uncertain financing conditions and are exposed to the risk of a sudden rise in financing costs during financial crises. We develop a tractable model of dynamic corporate financial management (cash accumulation, investment, equity issuance, risk management, and payout policies) for a...

Persistent link: https://www.econbiz.de/10012461849

Tracing the International Transmission of a Crisis Through Multinational Firms

Biermann, Marcus; Huber, Kilian - National Bureau of Economic Research - 2023

credit supply shock to parent firms in Germany. International affiliates outside Germany supported their parents through …

Persistent link: https://www.econbiz.de/10014247983

Security Issue Timing : What Do Managers Know, and When Do They Know It?

Jenter, Dirk - 2006

We study put option sales undertaken by corporations during their repurchase programs. Put sales' main theoretical motivation is market timing, providing an excellent framework for studying whether security issues reflect managers' ability to identify mispricing. Our evidence is that these bets...

Persistent link: https://www.econbiz.de/10012465936

Aggregate Risk and the Choice between Cash and Lines of Credit

Acharya, Viral V. - 2010

We argue that a firm's aggregate risk is a key determinant of whether it manages its future liquidity needs through cash reserves or bank lines of credit. Banks create liquidity for firms by pooling their idiosyncratic risks. As a result, firms with high aggregate risk find it costly to get...

Persistent link: https://www.econbiz.de/10012462534

A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management

Bolton, Patrick - 2009

This paper proposes a simple homogeneous dynamic model of investment and corporate risk management for a financially constrained firm. Following Froot, Scharfstein, and Stein (1993), we define a corporation's risk management as the coordination of investment and financing decisions. In our...

Persistent link: https://www.econbiz.de/10012463803

The Risk-Adjusted Cost of Financial Distress

Almeida, Heitor - 2005

In this paper we argue that risk-adjustment matters for the valuation of financial distress costs, since financial distress is more likely to happen in bad times. Systematic distress risk implies that the risk-adjusted probability of financial distress is larger than the historical probability....

Persistent link: https://www.econbiz.de/10012466991

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