NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Juliane Begenau

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

Working Papers and Chapters

July 2015Banks' Risk Exposures
with Monika Piazzesi, Martin Schneider: w21334
This paper studies U.S. banks' exposure to interest rate and credit risk. We exploit the factor structure in interest rates to represent many bank positions in terms of simple factor portfolios. This approach delivers time varying measures of exposure that are comparable across banks as well as across the business segments of an individual bank. We also propose a strategy to estimate exposure due to interest rate derivatives from regulatory data on notional and fair values together with the history of interest rates. We use the approach to document stylized facts about the recent evolution of bank risk taking.
May 2012Remapping the Flow of Funds
with Monika Piazzesi, Martin Schneider
in Risk Topography: Systemic Risk and Macro Modeling, Markus K. Brunnermeier and Arvind Krishnamurthy, editors
The Flow of Funds Accounts are a crucial data source on credit market positions in the U.S. economy. In particular, they combine regulatory data from various sources to produce a consistent set of flow and stock tables in major credit market instruments by sector. The events of the last five years have underscored the importance of positions data to guide economic analysis. Viewing positions as payment streams typically requires more information than book value or fair value. However, much of this information is already contained in the data sets from which the Flow of Funds accounts are constructed. This chapter first argues that quantitative analysis of credit market positions would benefit tremendously if the additional information about the structure of payment streams were more readil...

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

 
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