, focusing on short-term gains but risking further losses if rates rose. Instead of hedging the market value risk of bank asset … 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 used derivatives to hedge their interest rate risk, and even heavy users of …

Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical … VAR values that are adjusted for risk aversion, time preferences, and other variations in economic valuation. In the … context of a representative agent equilibrium model, we construct an estimator of the risk-aversion coefficient that is …

We develop a framework to estimate bank franchise value. Contrary to existing models, sticky deposits and low deposit …

estimated in this way can serve a useful function in monitoring bank risk. Further, the predictive significance of each variable …This study is concerned with establishing the determinants of banks' exposure to risk and with predicting risk in … banking. Using the COMPUSTAT data base, prediction rules have been developed for two aspects of risk: systematic risk (risk …

We develop a dynamic model of firm investment under uncertainty that captures firms' risk attitude using quantile …-quantile of its value next period. In our framework, τ ∈ (0, 1) parametrizes the firm's attitude toward downside risk. The model … value of future marginal profits -- investment depends directly on the firm's risk attitude. We further integrate our model …

The impact of exposure to a major unanticipated natural disaster on the evolution of survivors' attitudes toward risk … to take on risk relative to those not directly exposed to the tsunami. These differences are short-lived: starting a year … later, there is no evidence of differences in willingness to take on risk between the two groups. These conclusions hold for …

, but are, at best, weakly correlated. Third, WTA and WTP strongly relate to other aspects of risk preferences. The …

allows us to show how bank-level risk management considerations should factor into the pricing of those risks that cannot be … risk management; and ii) not all the risks they face can be frictionlessly hedged in the capital market. This approach …

at risk. Overall, these calculations suggest that recent declines in bank asset values very significantly increased the … accounting for loan portfolios held to maturity. Marked-to-market bank assets have declined by an average of 10% across all the …-- unlike insured depositors, uninsured depositors stand to lose a part of their deposits if the bank fails, potentially giving …