Benoit, Sylvain
[Verfasser:in]
;
Hurlin, Christophe
[Sonstige Person, Familie und Körperschaft];
Perignon, Christophe
[Sonstige Person, Familie und Körperschaft]
Erschienen in:HEC Paris Research Paper ; No. FIN-2013-1012
Umfang:
1 Online-Ressource (53 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2267791
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 1, 2014 erstellt
Beschreibung:
We show how to reverse-engineer banks' risk disclosures, such as Value-at-Risk, to obtain an implied measure of their exposures to equity, interest rate, foreign exchange, and commodity risks. Factor Implied Risk Exposures (FIRE) are obtained by breaking down a change in risk disclosure into a market volatility component and a bank-specific risk exposure component. In a study of large US and international banks, we show that (1) changes in risk exposures are negatively correlated with market volatility and (2) changes in risk exposures are positively correlated across banks, which is consistent with banks exhibiting commonality in trading