Implied Risk Exposures
Benoit, Sylvain; Hurlin, Christophe; Pérignon, Christophe (2015), Implied Risk Exposures, Review of Finance, 19, 6, p. 2183-2222. 10.1093/rof/rfu050
Type
Article accepté pour publication ou publiéDate
2015Journal name
Review of FinanceVolume
19Number
6Publisher
Kluwer Academic Publishers
Pages
2183-2222
Publication identifier
Metadata
Show full item recordAuthor(s)
Benoit, SylvainHurlin, Christophe
Laboratoire d'économie d'Orleans [2008-2011] [LEO]
Pérignon, Christophe
Groupement de Recherche et d'Etudes en Gestion à HEC [GREGH]
Abstract (EN)
We show how to reverse-engineer banks’ risk disclosures, such as value-at-risk, to obtain an implied measure of their exposures to equity, interest rate, foreign exchange, and commodity risks. Factor implied risk exposures are obtained by breaking down a change in risk disclosure into a market volatility component and a bank-specific risk exposure component. In a study of large US and international banks, we show that (i) changes in risk exposures are negatively correlated with market volatility and (ii) changes in risk exposures are positively correlated across banks, which is consistent with banks exhibiting commonality in trading.Subjects / Keywords
Herding; Risk Disclosure; (Stressed) Value-at-Risk; Regulatory CapitalRelated items
Showing items related by title and author.
-
Benoit, Sylvain; Colliard, Jean-Edouard; Hurlin, Christophe; Pérignon, Christophe (2017) Article accepté pour publication ou publié
-
Benoit, Sylvain; Hurlin, Christophe; Pérignon, Christophe (2017) Document de travail / Working paper
-
Benoit, Sylvain; Colletaz, Gilbert; Hurlin, Christophe; Pérignon, Christophe (2014) Document de travail / Working paper
-
Benoit, Sylvain; Hurlin, Christophe; Pérignon, Christophe (2019) Article accepté pour publication ou publié
-
Benoit, Sylvain (2018) Document de travail / Working paper