Bank Interest Rate Risk Management

• 成果类型: Article
• 署名作者: Vuillemey, Guillaume
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2018.3125
• 发表日期: 2019
• 页码: 5933-5956
• 关键词: Interest rate risk; derivatives; Bank capital structure; hedging

摘要

Empirically, bank equity value is decreasing in the interest rate. Yet (i) many banks do not hedge interest rate risk, and (ii) more than 50% of hedging banks use derivatives to increase exposure. 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. 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.