Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

stress sign in to follow this
liquidity sign in to follow this
crisis sign in to follow this

Stress Testing sign in to follow this
--Methods sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Market Risk with Interdependent Choice
Company: University of Oxford
Year Of Publication: 2000
Month Of Publication: May
Pages: 27
Download Count: 419
View Count:
Comment Num: 0
Language: EN
Who Can Read: Free
Date: 1-29-2007
Publisher: Administrator
Risks faced by traders from price movements are sometimes magni?ed by theactions of other traders. Risk management systems which neglect this feature maygive a seriously misleading picture of the true risks. The hazards arising from thispotential blindspot are at their most dangerous when the prevailing conventionalwisdom lulls traders into a false sense of security on the attractivenss of a tradingposition. The efforts of one trader to reverse his trade makes more acute the need to follow suit on the part of others. For markets dominated by traders withshort time horizons, such interdependence leads to exaggerated price movements.Estimates of ‘value at risk’ which recognize such interdependence of actions candiverge substantially from those given by conventional technique
Morris, Stephen Sign in to follow this author
Shin, Hyun Song Sign in to follow this author
This document's citation network:
Similar Documents:
Documents that cite this work:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile