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Risk Management in Financial Institutions: A Replication
Journal of Finance ( IF 7.915 ) Pub Date : 2021-07-05 , DOI: 10.1111/jofi.13063
PAUL M. GUEST 1
Affiliation  

Rampini, Viswanathan, and Vuillemey (RVV) show empirically that net worth drives hedging. I identify discrepancies to which RVV's key findings are not robust: the positive correlation between net worth and hedging is not independent of institution size, house price decline shocks to net worth (which RVV use for identification) have mixed effects on hedging that are not robust across alternative specifications, and the treatment effects on net worth and hedging are not increasing in real estate exposure, inconsistent with a causal explanation. Overall, my analysis does not support the conclusion of RVV that higher net worth causes more hedging.

中文翻译:

金融机构的风险管理:复制

Rampini、Viswanathan 和 Vuillemey (RVV) 根据经验表明,净资产推动对冲。我确定了 RVV 的主要发现不可靠的差异:净值和对冲之间的正相关性并非独立于机构规模,房价下跌对净值的冲击(RVV 用于识别)对对冲的混合影响不强跨替代规范,对净值和对冲的处理效果在房地产敞口中没有增加,与因果解释不一致。总的来说,我的分析不支持 RVV 的结论,即更高的净值会导致更多的对冲。
更新日期:2021-09-03
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