Bank trading risk and systemic risk
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Author
Contributions
- National Bureau of Economic Research. - Contributor
Publication
2005 - National Bureau of Economic Research, Cambridge, Mass, Massachusetts
Language
English
Word Count
9,000 words, Guess
Page Count
36 pages
Identifiers
- OCLC Control Number57581860
- Open LibraryOL17625749M
Classifications
- LCCHB1
Description
"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.
Subjects
Series Statement
- NBER working paper series -- no. 11037.
- Working paper series (National Bureau of Economic Research) -- working paper no. 11037.
Links
Other Editions
- Bank trading risk and systemic risk
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