Banks' Risk Exposures
收藏NBER2015-07-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w21334
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资源简介：
This paper measures interest rate and credit risk exposures in U.S. banks fixed-income positions over the last 30 years. We exploit the factor structure in fixed-income returns to represent banks positions, including derivatives, as simple portfolios. The typical bank is long both risk factors, with
提供机构：
美国国家经济研究局
创建时间：
2015-07-01
