The use of financial derivatives and risks of U.S. bank holding companies

被引：28

作者：

Li, Shaofang ^{[1
]}

Marinc, Matej ^{[1
,2
]}

机构：

[1] Univ Ljubljana, Fac Econ, Ljubljana 1000, Slovenia

[2] Univ Amsterdam, Fac Econ & Business, ACLE, NL-1018 WB Amsterdam, Netherlands

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2014年 / 35卷

关键词：

Financial derivatives; Interest rate derivatives; Exchange rate derivatives; Credit derivatives; Systematic risk; CREDIT DERIVATIVES; STOCK RETURNS; MANAGEMENT; SPECIFICATION; DETERMINANTS; SENSITIVITY; VOLATILITY; INVESTMENT; INNOVATION; SECTOR;

D O I：

10.1016/j.irfa.2014.07.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article examines the impact of financial derivatives on systematic risk of publicly listed U.S. bank holding companies (BHCs) from 1997 to 2012. We find that the use of financial derivatives is positively and significantly related to BHCs' systematic risk exposures. Higher use of interest rate derivatives, exchange rate derivatives, and credit derivatives corresponds to greater systematic interest rate risk, exchange rate risk, and credit risk. The positive relationship between derivatives and risks persists for derivatives for trading as well as for derivatives for hedging. We also analyze the role of BHCs' size and capital and the impact of the global financial crisis on the relationship between derivatives and risks. (C) 2014 Elsevier Inc. All rights reserved.

引用

页码：46 / 71

页数：26

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