Retracted: Risk Management in Financial Institutions

Retracted: Risk Management in Financial Institutions

We study risk management in financial institutions using data on hedging of interest rate and foreign exchange risk. We find strong evidence that institutions with higher net worth hedge more, controlling for risk exposures, across institutions and within institutions over time. For identification,...

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Veröffentlicht in:The Journal of finance (New York) 2020-04, Vol.75 (2), p.591-637
Hauptverfasser: RAMPINI, ADRIANO A., VISWANATHAN, S., VUILLEMEY, GUILLAUME
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Financial institutions
Foreign exchange
Prices
Real estate
Risk management
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container_title The Journal of finance (New York)
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creator RAMPINI, ADRIANO A.
VISWANATHAN, S.
VUILLEMEY, GUILLAUME
description We study risk management in financial institutions using data on hedging of interest rate and foreign exchange risk. We find strong evidence that institutions with higher net worth hedge more, controlling for risk exposures, across institutions and within institutions over time. For identification, we exploit net worth shocks resulting from loan losses due to declines in house prices. Institutions that sustain such shocks reduce hedging significantly relative to otherwise‐similar institutions. The reduction in hedging is differentially larger among institutions with high real estate exposure. The evidence is consistent with the theory that financial constraints impede both financing and hedging.
doi_str_mv 10.1111/jofi.12868
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source JSTOR Archive Collection A-Z Listing; Wiley Online Library All Journals
subjects Financial institutions
Foreign exchange
Prices
Real estate
Risk management
title Retracted: Risk Management in Financial Institutions
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