Derivatives Holdings and Systemic Risk in the U.S. Banking Sector
Risk Management
2022-02-07 v1
Abstract
Foreign exchange and credit derivatives increase the bank's contributions to systemic risk. Interest rate derivatives decrease it. The proportion of non-performing loans over total loans and the leverage ratio have stronger impact on systemic risk than derivatives holdings.
Keywords
Cite
@article{arxiv.2202.02254,
title = {Derivatives Holdings and Systemic Risk in the U.S. Banking Sector},
author = {Sergio Mayordomo and Maria Rodriguez-Moreno and Juan Ignacio Peña},
journal= {arXiv preprint arXiv:2202.02254},
year = {2022}
}