Our approach is motivated by the statistical finding that the market value of fixed
income instruments exhibit a low-dimensional factor structure. Indeed, a large literature
has documented that the prices of many types of bonds comove strongly, and that these
common movements are summarized by a small number of factors. It follows that for any
fixed income position, there is a portfolio in a few bonds that approximately replicates
how the value of the position changes with innovations to the factors.
For loans and securities, the replication portfolio is derived from detailed information
on the maturity distribution provided by the call reports. For loans reported at book
value,...
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Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks
Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks
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