Bank trading risk and systemic risk
By: Philippe Jorion.
Contributors: National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11037; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11037.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Banks and banking -- United States -- Econometric models.; Investments -- United States -- Econometric models.; Risk -- United States -- Econometric models.
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.
Notes: Includes bibliographical references.
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Mode of access: World Wide Web.