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hal.structure.identifier
dc.contributor.authorBenoit, Sylvain*
hal.structure.identifierLaboratoire d'économie d'Orleans [2008-2011] [LEO]
dc.contributor.authorHurlin, Christophe*
hal.structure.identifierGroupement de Recherche et d'Etudes en Gestion à HEC [GREGH]
dc.contributor.authorPérignon, Christophe*
dc.date.accessioned2017-03-09T09:34:00Z
dc.date.available2017-03-09T09:34:00Z
dc.date.issued2015
dc.identifier.issn1572-3097
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16302
dc.language.isoenen
dc.subjectHerdingen
dc.subjectRisk Disclosureen
dc.subject(Stressed) Value-at-Risken
dc.subjectRegulatory Capitalen
dc.subject.ddc332
dc.subject.classificationjelG.G3.G32en
dc.subject.classificationjelG.G2.G28en
dc.subject.classificationjelG.G2.G21en
dc.titleImplied Risk Exposuresen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameReview of Finance
dc.relation.isversionofjnlvol19en
dc.relation.isversionofjnlissue6en
dc.relation.isversionofjnldate2015
dc.relation.isversionofjnlpages2183-2222en
dc.relation.isversionofdoi10.1093/rof/rfu050en
dc.relation.isversionofjnlpublisherKluwer Academic Publishersen
dc.subject.ddclabelInstitutions financières, banques et opérations bancaires (prêt, crédit)
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2017-03-08T16:10:22Z
hal.identifierhal-01485613*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


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