The characteristics of derivatives users: An analysis of the thrift industry |
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Authors: | Arthur MB Hogan Clifford Rossi |
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Institution: | aOffice of Thrift Supervision, U.S. Department of the Treasury, Washington, DC USA;bFederal Home Loan Mortgage Corporation, McLean, Virginia USA |
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Abstract: | This paper compares the characteristics of derivatives users and non-users, using data from U.S. savings associations during 1993–1994. Unlike prior studies, the data used in this analysis are market values of assets and liabilities. Market values were obtained from the base case (no interest rate change) in the Office of Thrift Supervision's (OTS) Net Portfolio Value Model. This model calculates the value of all of a thrift's positions to calculate the value at risk. We determine the consistency of theories of derivatives use with the characteristics of derivatives users. |
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Keywords: | Derivatives Financial institutions Interest rate risk |
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