average bank has a large notional amount of swaps-- $434 billion, or more than 10 times assets. But after accounting for the … significant extent to which swap positions offset each other, the average bank has essentially no net interest rate risk from … banks, with some bank swap positions decreasing and some increasing with rates, but aggregating swap positions at the level …

rates to represent many bank positions in terms of simple factor portfolios. This approach delivers time varying measures of … exposure that are comparable across banks as well as across the business segments of an individual bank. We also propose a … the history of interest rates. We use the approach to document stylized facts about the recent evolution of bank risk …