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Publications [#303012] of Adriano A. Rampini

Journal Articles

  1. Rampini, AA; Viswanathan, S; Vuillemey, G, Risk Management in Financial Institutions (March, 2019)
    (last updated on 2019/06/17)

    We study risk management in financial institutions using data on hedging of interest rate risk by U.S. banks and bank holding companies. Theory predicts that more financially constrained institutions hedge less and that institutions whose net worth declines due to adverse shocks reduce hedging. We find strong evidence consistent with the theory in both the cross-section of institutions and within institutions over time. We use shocks to institutions’ net worth resulting from loan losses due to drops in house prices for identification. Institutions which sustain such losses reduce hedging substantially relative to otherwise similar institutions. We find no evidence that risk shifting, changes in interest rate risk exposures, or regulatory capital explain hedging behavior.

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