The sensitivity of bank stock returns to market, interest and exchange rate risks

How Bank Risk Profiles Affect Their Strength: An Assessment of Banks in the Asia-Pacific Region

“…Related studies that have examined the effects of market, credit and maturity risks include Dewenter and Hess (1988), Demsetz and Strahan (1998) and Landschoot and Vander Vennet (2001). Other studies such as those by Sweeney and Warga (1986), Yourougou (1990), Choi, Elyasiani and Kopecky (1992) and Allen and Jagtiani (1996) have looked at the effects of market and interest rate risks on bank returns.…”

Implied Maturity Mismatches and Investor Disagreement

“…We base this choice on the pioneering findings of Flannery and James (1984), who documented a strong link between traditionally measured and implied MMs in the cross-section of U.S. traded banks. Extensive research has confirmed the conclusions of Flannery and James (1984) by expanding them to account for several types of interest rates, different time frames and different methodologies (see, e.g., Choi et al 1992, Song 1994, Chamberlain et al 1997, and Schrand 1997.…”

The Researches on Exchange Rate Risk of Chinese Commercial Banks Based on Copula-Garch Model

“…In order to make data processing more convenient, logarithm processing method is adopted in this paper, the RMB exchange rate data, obtain logarithmic yield. 1 ln ln…”

“…Huali Huang thinks that the value of the foreign exchange positions held by commercial banks as the foreign exchange market exchange rate volatility is the direct cause of commercial bank exchange rate risk, and changes in the exchange rate are mainly influenced by the foreign exchange market supply and demand [1]. According to the comprehensive research of scholars both at home and abroad, the author thinks that the fundamental cause of the exchange rate changes is the change of market supply and demand of foreign exchange, while changes of the relationship between supply and demand in the foreign exchange market are determined by each country's domestic political and economic factors.…”