Bank Interest Rate Risk Management
研究发现银行股权价值随利率下降，但许多银行不对冲利率风险，且超半数对冲银行用衍生品增加风险敞口。模型表明这在金融摩擦下是最优对冲，挑战了从衍生品收益与股权价值正相关识别对冲与投机行为的观点。
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. This paper was accepted by Gustavo Manso, finance.