• Media type: E-Book
  • Title: Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions : An Integrated Approach
  • Contributor: Froot, Kenneth A. [Author]; Stein, Jeremy C. [Other]
  • Corporation: National Bureau of Economic Research
  • Published: Cambridge, Mass: National Bureau of Economic Research, January 1996
  • Published in: NBER working paper series ; no. w5403
  • Extent: 1 Online-Ressource
  • Language: English
  • DOI: 10.3386/w5403
  • Identifier:
  • Reproduction note: Hardcopy version available to institutional subscribers
  • Origination:
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  • Description: We develop a framework for analyzing the capital allocation and capital structure decisions facing financial institutions such as banks. Our model incorporates two key features: i) value-maximizing banks have a well-founded concern with risk management; and ii) not all the risks they face can be frictionlessly hedged in the capital market. This approach allows us to show how bank-level risk management considerations should factor into the pricing of those risks that cannot be easily hedged. We examine several applications, including the evaluation of proprietary trading operations, and the pricing of unhedgeable derivatives positions
  • Access State: Open Access