TY  - JOUR
AU  - Jorion, Philippe
TI  - Bank Trading Risk and Systemic Risk
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11037
PY  - 2005
Y2  - January 2005
DO  - 10.3386/w11037
UR  - http://www.nber.org/papers/w11037
L1  - http://www.nber.org/papers/w11037.pdf
N1  - Author contact info:
Philippe Jorion
University of California, Irvine
Department of Finance
Graduate School of Management
Irvine, CA  92697
E-Mail: pjorion@gsm.uci.edu
M1  - published as Philippe Jorion. "Bank Trading Risk and Systemic Risk," in Mark Carey and René M. Stulz, editors, "The Risks of Financial Institutions" University of Chicago Press (2006)

AB  - 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.
ER  -