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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
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Bank Funding Risk, Reference Rates, and Credit Supply
Cooperman, Harry; Duffie, Darrell; Luck, Stephan; Wang, … - National Bureau of Economic Research - 2023
Corporate credit lines are drawn more heavily when funding markets are more stressed. This covariance elevates expected bank funding costs. We show that credit supply is dampened by the associated debt-overhang cost to bank shareholders. Until 2022, this impact was reduced by linking the...
Persistent link: https://www.econbiz.de/10014226104
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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
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Data and Welfare in Credit Markets
Jansen, Mark; Nagel, Fabian; Yannelis, Constantine; … - National Bureau of Economic Research - 2022
We show how to measure the welfare effects arising from increased data availability. When lenders have more data on prospective borrower costs, they can charge prices that are more aligned with these costs. This increases total social welfare, and transfers surplus from borrowers to lenders. We...
Persistent link: https://www.econbiz.de/10013334452
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Climate Stress Testing
Acharya, Viral V.; Berner, Richard B.; Engle, Robert F.; … - National Bureau of Economic Research - 2023
We explore the design of climate stress tests to assess and manage macro-prudential risks from climate change in the financial sector. We review the climate stress scenarios currently employed by regulators, highlighting the need to (i) consider many transition risks as dynamic policy choices;...
Persistent link: https://www.econbiz.de/10014250115
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Contingent Credit Under Stress
Acharya, Viral V.; Jager, Maximilian; Steffen, Sascha - National Bureau of Economic Research - 2023
' provision of liquidity insurance in the form of credit lines, their significance in managing corporate liquidity, and the …
Persistent link: https://www.econbiz.de/10014437040
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Crisis Risk and Risk Management
Stulz, René M. - National Bureau of Economic Research - 2023
This paper assesses the current state of knowledge about crisis risk and its implications for risk management. Better data that became available since the Global Financial Crisis (GFC) has improved our understanding of crisis risk. These data have been used to show that some types of crises...
Persistent link: https://www.econbiz.de/10014287353
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The Catastrophic Effects of Natural Disasters on Insurance Markets
Viscusi, W. Kip - 2006
Natural catastrophes often have catastrophic risks on insurance companies as well as on the insured. Using a very large … dataset on homeowners' insurance coverage by state, by firm, and by year for the 1984 to 2004 period, this paper documents the … "blockbuster catastrophes." Insurers adapt to these catastrophic risks by raising insurance rates, leading to lower loss ratios …
Persistent link: https://www.econbiz.de/10012466317
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The Moral Hazard of Insuring the Insurers
Bohn, James G. - 1997
State guaranty funds are quasi-governmental agencies that provide insurance to policyholders against the risk of … insurance company failure. But insurance provided by guaranty funds, like all insurance, creates moral hazard problems … insurance companies to borrow money (i.e., from policyholders). Moreover, the existence of guaranty fund insurance enables …
Persistent link: https://www.econbiz.de/10012472917
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Home Equity Insurance
Shiller, Robert J. - 1994
Home equity insurance policies, policies insuring homeowners against declines in the price of their homes, would bear … some resemblance both to ordinary insurance and to financial hedging vehicles. A menu of choices for the design of such … insurance company in effect serves as a retailer to homeowners of short positions in real estate futures markets or of put …
Persistent link: https://www.econbiz.de/10012474085