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| Tekijä: | Reichert, A. Shyu, Y-W. |
| Otsikko: | Derivative activities and the risk of international banks: a market index and VaR approach |
| Lehti: | International Review of Financial Analysis
2003 : VOL. 12:5, p. 489-511 |
| Asiasana: | Derivative securities International banks Risk management Swaps Value-at-risk |
| Kieli: | eng |
| Tiivistelmä: | A three-factor multi-index model and a modified value-at-risk (VaR) are used to compare international banks. The results indicate that the use of options increases the interest rate beta for all banks, while both interest rate and currency swaps generally reduce risk. The results are the strongest and the most consistent for U.S. dealer banks, followed by European banks, and then Japanese banks. |
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