Derivatives Holdings and Systemic Risk in the U.S. Banking Sector

Sergio Mayordomo, Maria Rodriguez-Moreno and Juan Ignacio Pe\~na

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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.

Date: 2022-02
New Economics Papers: this item is included in nep-ban, nep-fdg, nep-fmk and nep-rmg
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Journal Article: Derivatives holdings and systemic risk in the U.S. banking sector (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2202.02254

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