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Bank Trading Revenues, VaR, and Market Risk
Year Of Publication: 2004
Month Of Publication: September
Pages: 30
Download Count: 978
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 1-20-2005
Publisher: Administrator
Summary
Bank dealers play a central role in market-making in financial markets. In recent literature it has been argued that risk-taking and trading activity by banks and other financial institutions may contribute to market volatility and illiquidity. This literature further raises the possibility that the widespread adoption of VaR in portfolio management may lead to trading behavior that further exaggerates market volatility. This study represents a first attempt to supplement this largely theoretical literature with a systematic empirical study of market risks using daily trading revenues and VaRs for 7 large U.S. trading banks.
Author(s)
OBrien, James Sign in to follow this author
Berkowitz, Jeremy Sign in to follow this author
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