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Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks

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Author Info
Jongmoo Choi
Elyas Elyasiani
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File URL: http://hdl.handle.net/10.1023/A:1007982921374
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Article provided by Springer in its journal Journal of Financial Services Research.

Volume (Year): 12 (1997)
Issue (Month): 2 (October)
Pages: 267-286
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Handle: RePEc:kap:jfsres:v:12:y:1997:i:2:p:267-286

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  1. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June. [Downloadable!] (restricted)
  2. Brewer, Elijah III & Koppenhaver, G. D., 1992. "The impact of standby letters of credit on bank risk: A note," Journal of Banking & Finance, Elsevier, vol. 16(6), pages 1037-1046, December. [Downloadable!] (restricted)
  3. Hassan, M. Kabir & Karels, Gordon V. & Peterson, Manfred O., 1994. "Deposit insurance, market discipline and off-balance sheet banking risk of large U.S. commercial banks," Journal of Banking & Finance, Elsevier, vol. 18(3), pages 575-593, May. [Downloadable!] (restricted)
  4. Chamberlain, Gary, 1982. "Multivariate regression models for panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 5-46, January. [Downloadable!] (restricted)
  5. Yourougou, Pierre, 1990. "Interest-rate risk and the pricing of depository financial intermediary common stock : Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 14(4), pages 803-820, October. [Downloadable!] (restricted)
  6. Giliberto, Michael, 1985. "Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(01), pages 123-126, March. [Downloadable!]
  7. Dumas, Bernard & Solnik, Bruno, 1995. " The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-79, June. [Downloadable!] (restricted)
  8. Ikeda, Shinsuke, 1991. " Arbitrage Asset Pricing under Exchange Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 447-55, March. [Downloadable!] (restricted)
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  9. Prasad, Anita Mehra & Rajan, Murli, 1995. "The role of exchange and interest risk in equity valuation: A comparative study of international stock markets," Journal of Economics and Business, Elsevier, vol. 47(5), pages 457-472, December. [Downloadable!] (restricted)
  10. Thomas E. MaCurdy, 1981. "Asymptotic Properties of Quasi-Maximum Likelihood Estimators and Test Statistics," NBER Technical Working Papers 0014, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  11. Jongmoo Jay Choi & Murli Rajan, 1997. "A Joint Test of Market Segmentation and Exchange Risk Factor in International Capital Market," Journal of International Business Studies, Palgrave Macmillan Journals, vol. 28(1), pages 29-49, March. [Downloadable!] (restricted)
  12. Jorion, Philippe, 1991. "The Pricing of Exchange Rate Risk in the Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(03), pages 363-376, September. [Downloadable!]
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