Bank Trading Risk and Systemic Risk

Philippe Jorion

No 11037, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: G11 G21 G28 (search for similar items in EconPapers)
Date: 2005-01
New Economics Papers: this item is included in nep-fin
Note: CF
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Citations: View citations in EconPapers (6)

Published as Carey, Mark and Rene M. Stulz (eds.) The Risks of Financial Institutions A National Bureau of Economic Research Conference Report. Chicago and London: University of Chicago Press, 2006.
Published as Bank Trading Risk and Systemic Risk , Philippe Jorion. in The Risks of Financial Institutions , Carey and Stulz. 2006

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