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Bank Trading and Systemic Risk
Year Of Publication: 2004
Month Of Publication: December
Pages: 40
Download Count: 1201
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 2-19-2005
Publisher: Administrator
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 downby business line, as well as the Value at Risk-based market risk charge. Theoverall picture from these preliminary results is that there is a fair amount ofdiversification across banks and within banks across business lines. These lowcorrelations do not corroborate systemic risk concerns. Neither is there evidencethat the post-1998 period has witnessed an increase in volatility of tradingrevenues.
Author(s)
Jorion, Philippe Sign in to follow this author
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