Bank Trading Risk and Systemic Risk

40 Pages Posted: 4 Feb 2005 Last revised: 28 Feb 2021

See all articles by Philippe Jorion

Philippe Jorion

University of California, Irvine - Paul Merage School of Business

Date Written: January 2005

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.

Suggested Citation

Jorion, Philippe, Bank Trading Risk and Systemic Risk (January 2005). NBER Working Paper No. w11037, Available at SSRN: https://ssrn.com/abstract=649726

Philippe Jorion (Contact Author)

University of California, Irvine - Paul Merage School of Business ( email )

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