This paper attempts to distinguish hedging versus speculative derivative usage by U.S. bank holding companies, and whether that has implications for future performance. This is accomplished by implementing a multi-step procedure that relates the implied volatility from traded options on these...

This paper investigates the economic impact of client derivatives losses on OTC derivatives dealers. Its focus is on the capital market's reaction to losses suffered by four end-users of OTC derivatives products arranged with Bankers Trust NY. Evidence is provided on the impact of these end-...