Konstantin Milbradt
Institution
Northwestern Kellogg
PhD Year
2009
milbradt@northwestern.edu
FTG Membership
Member
Website
http://sites.google.com/site/milbradt/
Featured Work
Oct 8, 2025
A Model of Bank Hedging
This model concerns itself with how banks hedge their business risk, as composed of cash-flow risk and discount rate risk. In equilibrium, the two risks are intertwined as they are linked via the optimal hedging strategy. Ultimately, the bank stabilizes the marginal value of cash to trade off discount and cash-flow effects. A regulator imposes a maximum leverage ratio, and the firm’s strategy is affected...
