TY  - JOUR
AU  - Begenau, Juliane
AU  - Piazzesi, Monika
AU  - Schneider, Martin
TI  - Banks' Risk Exposures
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 21334
PY  - 2015
Y2  - July 2015
DO  - 10.3386/w21334
UR  - http://www.nber.org/papers/w21334
L1  - http://www.nber.org/papers/w21334.pdf
N1  - Author contact info:
Juliane Begenau
Graduate School of Business
Stanford University
655 Knight Way
Stanford, CA 94305
Tel: 650/724-5661
E-Mail: begenau@stanford.edu

Monika Piazzesi
Department of Economics
Stanford University
579 Jane Stanford Way
Stanford, CA 94305-6072
Tel: (650) 723-9289
E-Mail: piazzesi@stanford.edu

Martin Schneider
Department of Economics
Stanford University
579 Jane Stanford Way
Stanford, CA 94305-6072
Tel: (650) 721 6320
E-Mail: schneidr@stanford.edu
AB  - This paper studies U.S. banks' exposure to interest rate and credit risk. We exploit the factor structure in interest rates to represent many bank positions in terms of simple factor portfolios. This approach delivers time varying measures of exposure that are comparable across banks as well as across the business segments of an individual bank. We also propose a strategy to estimate exposure due to interest rate derivatives from regulatory data on notional and fair values together with the history of interest rates. We use the approach to document stylized facts about the recent evolution of bank risk taking.
ER  -