Hedging and Coordinated Risk Management: Evidence from Thrift Conversions
提出对冲是分配风险而非减少风险的手段，并利用互助储蓄机构转制为股份制机构的数据，证明转制后机构通过对冲利率风险、增加信用风险来提升总风险，这与风险承担能力和激励增强一致。
ABSTRACT We provide an explanation for hedging as a means of allocating rather than reducing risk. We argue that when increases in total risk are costly, firms optimally allocate risk by reducing (increasing) exposure to risks that provide zero (positive) economic rents. Our evidence shows that mutual thrifts that convert to stock institutions increase total risk following conversion, consistent with their increased abilities and incentives for risk taking. They achieve this increase by hedging interest‐rate risk and increasing credit risk. We provide some evidence that risk‐management activities are related to growth capacity and management compensation structure attained at conversion.