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The derivatives through the lens of the financial accounts: measurement and analysis

Luigi Infante and Bianca Sorvillo ()
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Bianca Sorvillo: Bank of Italy

No 389, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: This paper studies the performance of the market value of the derivatives for Italian banks by using the financial accounts and proposing an international comparison. An estimate of the market value was also obtained for the period from the first quarter of 2001 to the third quarter of 2008 by exploiting the continuity of the notional values found in the supervisory reports. Our analysis of the performance of banking derivatives in the major countries shows that their value has significantly decreased since the financial crisis. At the end of 2015, the amount of financial derivatives reported in the assets of monetary financial institutions was 4 per cent of the total financial assets in Italy, a much lower value than in the UK, Germany and France.

Keywords: derivatives; financial accounts; banks (search for similar items in EconPapers)
JEL-codes: C82 E01 G1 G2 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-eec and nep-mac
Date: 2017-09
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_389_17

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