assets but left the vast majority of their long-duration assets exposed to interest rate risk. Data from call reports and SEC … filings shows that only 6% of U.S. banking assets used derivatives to hedge their interest rate risk, and even heavy users of …, focusing on short-term gains but risking further losses if rates rose. Instead of hedging the market value risk of bank asset …

, we document that insurers' risk taking was distorted and increased in response to the new regulation …

Motivated by the regional bank crisis of 2023, we model the impact of interest rates on the liquidity risk of banks …. Prior work shows that banks hedge the interest rate risk of their assets with their deposit franchise: when interest rates … the bank. The liquidity risk of the bank thus increases with interest rates. We provide a formula for the bank's optimal …

Over the last twenty years, the consensus view of systemic risk in the financial system that emerged in response to the … facing financial institutions. The dramatic rise of modern risk management has changed how the risks of financial … institutions are measured and how these institutions are managed. However, modern risk management is not without weaknesses that …

This paper provides an empirical analysis of the risk of trading revenues of U.S. commercial banks. We collect … quarterly data on trading revenues, broken down by business line, as well as the Value at Risk-based market risk charge. The … across business lines. These low correlations do not corroborate systemic risk concerns. Neither is there evidence that the …

This study is concerned with establishing the determinants of banks' exposure to risk and with predicting risk in … banking. Using the COMPUSTAT data base, prediction rules have been developed for two aspects of risk: systematic risk (risk … that is related to covariance with the market portfolio) and residual risk (the aggregate of specific …

This paper assesses the current state of knowledge about crisis risk and its implications for risk management. Better … data that became available since the Global Financial Crisis (GFC) has improved our understanding of crisis risk. These …