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Derivatives Holdings and Systemic Risk in the U.S. Banking Sector

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Listed:
  • Sergio Mayordomo
  • Maria Rodriguez-Moreno
  • Juan Ignacio Pe~na

Abstract

Foreign exchange and credit derivatives increase the bank's contributions to systemic risk. Interest rate derivatives decrease it. The proportion of non-performing loans over total loans and the leverage ratio have stronger impact on systemic risk than derivatives holdings.

Suggested Citation

  • Sergio Mayordomo & Maria Rodriguez-Moreno & Juan Ignacio Pe~na, 2022. "Derivatives Holdings and Systemic Risk in the U.S. Banking Sector," Papers 2202.02254, arXiv.org.
    • Handle: RePEc:arx:papers:2202.02254
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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