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

systemic risk sign in to follow this
regulation sign in to follow this
positive feedback sign in to follow this
complexity sign in to follow this
risk limits sign in to follow this
Categories:

VaR Methods sign in to follow this
--Systemic Risk sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Do Market Risk Management Techniques Amplify Systemic Risks?
Company: Global Financial Stability Report
Company Url: Click here to open
Year Of Publication: 2007
Month Of Publication: October
Pages: 25
Download Count: 10
View Count: 1830
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 1-1-2011
Publisher: Administrator
Summary
This chapter assesses how market risk management techniques may have contributed to the benign financial environment of recent years, and whether seemingly prudent behavior by individual firms, reacting to similar market risk systems, could serve to amplify market volatility in periods of stress beyond what would otherwise have occurred. Based on simulations and observed risk management practice, there are grounds for believing that this could be the case. Results of the simulations suggest that, in a period of stress, having a variety of risk models is more stabilizing than uniformity. Perhaps more important, however, is the presence of a variety of types of financial institutions with differing investment horizons and risk appetites, as well as the scope to take offsetting positions when prices overshoot and “fire sales” occur.
Author(s)
Daníelsson, Jón Sign in to follow this author
Klueh, Ulrich Sign in to follow this author
Kodres, Laura Sign in to follow this author
Kiff, John Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile