2019 DEC 30 (NewsRx) -- By a
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Our news editors obtained a quote from the research from HEC Paris, “I model a bank’s capital structure and show that these facts are consistent with optimal hedging under financial frictions. Novel predictions on the characteristics of banks taking long or short interest rate derivative positions are tested and supported by the data. Therefore, banks’ derivatives exposures are not necessarily evidence of excessive risk taking.”
According to the news editors, the research concluded: “More broadly, the results challenge the view that ‘hedging’ and ‘speculative’ positions can be identified from a positive comovement between derivatives payoffs and equity value.”
For more information on this research see: Bank Interest Rate Risk Management. Management Science, 2019;65(12):5933-5956. Management Science can be contacted at: Informs, 5521 Research Park Dr, Suite 200,
The news editors report that additional information may be obtained by contacting
The direct object identifier (DOI) for that additional information is: https://doi.org/10.1287/mnsc.2018.3125. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.
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