Banks exposure to market risks

Galy, Michel (1989): Banks exposure to market risks.

Abstract

Maturity transformation coupled with open foreign exchange positions expose financial intermediaries to unexpected changes in interest and exchange rates. This paper proposes to measure the degree of banks exposure to market risks by taking the variance of the total differential of the bank net-wealth against these prices.

• Item Type: MPRA Paper
• Language: English
• Keywords: Banks net worth; assets valuation; duration; volatility; market risks; interest rate risk; foreign exchange risk; interest rate term structure
• Subjects: F - International Economics > F3 - International Finance; F - International Economics > F3 - International Finance > F31 - Foreign Exchange; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation

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