The characteristics of derivatives users: An analysis of the thrift industry

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 c...

Full description

Saved in:

Bibliographic Details
Published in:	Journal of economics and business Vol. 49; no. 6; pp. 587 - 598
Main Authors:	Hogan, Arthur M.B., Rossi, Clifford
Format:	Journal Article
Language:	English
Published:	New York Elsevier Inc 01-11-1997 Elsevier Elsevier Science Ltd
Series:	Journal of Economics and Business
Subjects:	Comparative analysis Derivatives Financial institutions Interest rate risk Savings & loan associations Studies United States > US Financial institutions Derivatives Interest rate risk G28 G21
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

Description
Summary:	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.
ISSN:	0148-6195 1879-1735
DOI:	10.1016/S0148-6195(97)00041-6