Mayordomo, Sergio; Rodriguez-Moreno, Maria; Peña, Juan … - In: Journal of Banking & Finance 45 (2014) C, pp. 84-104
This paper studies the impact of the banks’ portfolio holdings of financial derivatives on the banks’ individual …, outperforms the others. Using this measure we find that banks’ aggregate holdings of five classes of derivatives do not exhibit a … derivatives such as foreign exchange and credit derivatives increase the banks contributions to systemic risk whereas holdings of …