IDEAS home Printed from https://ideas.repec.org/a/eee/jbfina/v24y2000i9p1399-1417.html
   My bibliography  Save this article

The risk of foreign currency contingent claims at US commercial banks

Author

Listed:
  • Chaudhry, Mukesh K.
  • Christie-David, Rohan
  • Koch, Timothy W.
  • Reichert, Alan K.

Abstract

No abstract is available for this item.

Suggested Citation

  • Chaudhry, Mukesh K. & Christie-David, Rohan & Koch, Timothy W. & Reichert, Alan K., 2000. "The risk of foreign currency contingent claims at US commercial banks," Journal of Banking & Finance, Elsevier, vol. 24(9), pages 1399-1417, September.
  • Handle: RePEc:eee:jbfina:v:24:y:2000:i:9:p:1399-1417
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378-4266(99)00086-2
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Grammatikos, Theoharry & Saunders, Anthony & Swary, Itzhak, 1986. " Returns and Risks of U.S. Bank Foreign Currency Activities," Journal of Finance, American Finance Association, vol. 41(3), pages 671-682, July.
    2. Brewer, Elijah, III & Jackson, William E, III & Moser, James T, 1996. "Alligators in the Swamp: The Impact of Derivatives on the Financial Performance of Depository Institutions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(3), pages 482-497, August.
    3. Gary Gorton & Richard Rosen, 1995. "Banks and Derivatives," NBER Chapters,in: NBER Macroeconomics Annual 1995, Volume 10, pages 299-349 National Bureau of Economic Research, Inc.
    4. Jongmoo Choi & Elyas Elyasiani, 1997. "Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(2), pages 267-286, October.
    5. Venkatachalam, Mohan, 1996. "Value-relevance of banks' derivatives disclosures," Journal of Accounting and Economics, Elsevier, vol. 22(1-3), pages 327-355, October.
    6. Flannery, Mark J & James, Christopher M, 1984. "Market Evidence on the Effective Maturity of Bank Assets and Liabilities," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 16(4), pages 435-445, November.
    7. Beverly Hirtle, 1997. "Derivatives, Portfolio Composition, and Bank Holding Company Interest Rate Risk Exposure," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(2), pages 243-266, October.
    8. Tarhan, Vefa, 1987. "Unanticipated interest rates, bank stock returns and the nominal contracting hypothesis," Journal of Banking & Finance, Elsevier, vol. 11(1), pages 99-115, March.
    9. 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.
    10. Jeffery W. Gunther & Thomas F. Seims, 1995. "The likelihood and extent of bank participation in derivatives activities," Financial Industry Studies Working Paper 95-1, Federal Reserve Bank of Dallas.
    11. Christopher James, 1987. "Off-balance sheet banking," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 21-36.
    12. Saunders, Anthony & Strock, Elizabeth & Travlos, Nickolaos G, 1990. " Ownership Structure, Deregulation, and Bank Risk Taking," Journal of Finance, American Finance Association, vol. 45(2), pages 643-654, June.
    13. Morgan, George Emir & Shome, Dilip K & Smith, Stephen D, 1988. " Optimal Futures Positions for Large Banking Firms," Journal of Finance, American Finance Association, vol. 43(1), pages 175-195, March.
    14. Elijah Brewer & Cheng Few Lee, 1986. "How the market judges bank risk," Economic Perspectives, Federal Reserve Bank of Chicago, issue Nov, pages 25-31.
    15. Edward J. Kane & Haluk Unal, 1988. "Change in Market Assessments of Deposit-Institution Riskiness," NBER Working Papers 2530, National Bureau of Economic Research, Inc.
    16. Christopher M. James, 1987. "Off-balance sheet banking," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue sep18.
    17. David Carter & Joseph Sinkey, 1998. "The Use of Interest Rate Derivatives by End-users: The Case of Large Community Banks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 14(1), pages 17-34, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. L. Baele & R. Vander Vennet & A. Van Landschoot, 2004. "Bank Risk Strategies and Cyclical Variation in Bank Stock Returns," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/217, Ghent University, Faculty of Economics and Business Administration.
    2. Flavius ROVINARU & Mihaela ROVINARU, 2014. "Investments And Development: Milestones Of Romania’S Evolution," Romanian Journal of Economics, Institute of National Economy, vol. 38(1(47)), pages 197-207, June.
    3. Codruta Maria FAT & Simona MUTU, 2014. "Analyzing The Relationship Between Eonia And Eoniaswap Rates. A Cointegration Approach," Romanian Journal of Economics, Institute of National Economy, vol. 38(1(47)), pages 197-207, June.
    4. Trenca Ioan & Mutu Simona & Petria Nicolae, 2012. "Analyzing The European Market Of Interest Rate Swap Indices," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 614-619, December.
    5. Au Yong, Hue Hwa & Faff, Robert & Chalmers, Keryn, 2009. "Derivative activities and Asia-Pacific banks' interest rate and exchange rate exposures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 16-32, February.
    6. repec:wsi:rpbfmp:v:20:y:2017:i:01:n:s0219091517500047 is not listed on IDEAS
    7. repec:ine:journl:v:2:y:2014:i:44:p:197-207 is not listed on IDEAS
    8. Baele, Lieven & De Bruyckere, Valerie & De Jonghe, Olivier & Vander Vennet, Rudi, 2015. "Model uncertainty and systematic risk in US banking," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 49-66.
    9. Li, Shaofang & Marinč, Matej, 2014. "The use of financial derivatives and risks of U.S. bank holding companies," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 46-71.
    10. Mohamed Rochdi Keffala & Christian de Peretti, 2013. "Effect of the Use of Derivative Instruments on Accounting Risk: Evidence from Banks in Emerging and Recently Developed Countries," Annals of Economics and Finance, Society for AEF, vol. 14(1), pages 169-178, May.
    11. Cooper, Michael J. & Jackson, William III & Patterson, Gary A., 2003. "Evidence of predictability in the cross-section of bank stock returns," Journal of Banking & Finance, Elsevier, vol. 27(5), pages 817-850, May.
    12. Egly, Peter V. & Sun, Jun, 2014. "Trading income and bank charter value during the financial crisis: Does derivatives dealer designation matter?," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 355-370.
    13. Toth Kornel, 2014. "The Effect Of Derivative Financial Instruments On Bank Risks, Relevance And Faithful Representation: Evidence From Banks In Hungary," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 698-706, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:24:y:2000:i:9:p:1399-1417. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jbf .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.