Banks exposure to market risks

Michel Galy

MPRA Paper from University Library of Munich, Germany

Abstract: Maturity transformation coupled with open foreign exchange positions expose financial intermediaries to unexpected changes in interest and exchange rates. This paper proposes to measure the degree of banks exposure to market risks by taking the variance of the total differential of the bank net-wealth against these prices.

Keywords: Banks net worth; assets valuation; duration; volatility; market risks; interest rate risk; foreign exchange risk; interest rate term structure (search for similar items in EconPapers)
JEL-codes: F3 F31 G12 G15 G17 (search for similar items in EconPapers)
Date: 1989-02-10
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:62304

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