Book/Printed Material Bank trading risk and systemic risk

Title

• Bank trading risk and systemic risk

Summary

• "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.

Names

• Jorion, Philippe, 1955-
• National Bureau of Economic Research

Created / Published

• Cambridge, MA : National Bureau of Economic Research, c2005.

Headings

• -  Banks and banking--United States--Econometric models
• -  Investments--United States--Econometric models
• -  Risk--United States--Econometric models

Notes

• -  Title from PDF file as viewed on 2/8/2005.
• -  Includes bibliographical references.
• -  Also available in print.
• -  Mode of access: World Wide Web.
• -  System requirements: Adobe Acrobat Reader.

Call Number/Physical Location

• HB1

Digital Id

• https://hdl.loc.gov/loc.gdc/gdcebookspublic.2005616621
• http://papers.nber.org/papers/W11037 External

Library of Congress Control Number

• 2005616621

Access Advisory

• Unrestricted online access

Online Format

• image
• pdf

LCCN Permalink

• https://lccn.loc.gov/2005616621

Additional Metadata Formats

• MARCXML Record
• MODS Record
• Dublin Core Record