Bank trading risk and systemic risk
by Philippe Jorion
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"This paper provides an empirical analysis of the risk of trading revenues of U.S. commercial banks. We collect quarterly data on trading revenues, broken down by business line, as well as the Value at Risk-based market risk charge. The overall picture from these preliminary results is that there is a fair amount of diversification across banks and within banks across business lines. These low correlations do not corroborate systemic risk concerns. Neither is there evidence that the post-1998 period has witnessed an increase in volatility of trading revenues"--National Bureau of Economic Research web site.
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Econometric models, Banks and banking, Investments, RiskPlaces
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Bank trading risk and systemic risk
2005, National Bureau of Economic Research
Electronic resource
in English
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Book Details
Edition Notes
"January 2005."
Includes bibliographical references (p. 26-28).
Also available in PDF from the NBER world wide web site (www.nber.org).
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- Created September 29, 2008
- 3 revisions
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| December 15, 2009 | Edited by WorkBot | link works |
| April 25, 2009 | Edited by ImportBot | add OCLC number |
| September 29, 2008 | Created by ImportBot | Imported from Oregon Libraries MARC record |