Risk Management in Financial Institutions: A Replication
复制了Rampini等人关于净资产驱动对冲的实证研究，发现其关键结论不稳健：净资产与对冲的正相关受机构规模影响，房价冲击对净资产和对冲的影响不一致，且处理效应不随房地产敞口递增，不支持净资产导致更多对冲的因果解释。
ABSTRACT Rampini, Viswanathan, and Vuillemey (RVV) show empirically that net worth drives hedging. I identify discrepancies to which RVV's key findings are not robust: the positive correlation between net worth and hedging is not independent of institution size, house price decline shocks to net worth (which RVV use for identification) have mixed effects on hedging that are not robust across alternative specifications, and the treatment effects on net worth and hedging are not increasing in real estate exposure, inconsistent with a causal explanation. Overall, my analysis does not support the conclusion of RVV that higher net worth causes more hedging.