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Banks exposure to market risks

Author

Listed:
  • Galy, Michel

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.

Suggested Citation

  • Galy, Michel, 1989. "Banks exposure to market risks," MPRA Paper 62304, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:62304
    as

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    File URL: https://mpra.ub.uni-muenchen.de/62304/1/MPRA_paper_62304.pdf
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    References listed on IDEAS

    as
    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    2. Frederick R. Macaulay, 1938. "Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856," NBER Books, National Bureau of Economic Research, Inc, number maca38-1, January.
    3. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1979. "Duration and the Measurement of Basis Risk," The Journal of Business, University of Chicago Press, vol. 52(1), pages 51-61, January.
    4. Gaab, W. & Granziol, M. J. & Horner, M., 1986. "On some international parity conditions : An empirical investigation," European Economic Review, Elsevier, vol. 30(3), pages 683-713, June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Banks net worth; assets valuation; duration; volatility; market risks; interest rate risk; foreign exchange risk; interest rate term structure;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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