| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11608 |
| 来源ID | Working Paper 11608 |
| Estimating Bank Trading Risk: A Factor Model Approach | |
| James O'; Brien; Jeremy Berkowitz | |
| 发表日期 | 2005-09-12 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | Risk in bank trading portfolios and its management are potentially important to the banks%u2019 soundness and to the functioning of securities and derivatives markets. In this paper, proprietary daily trading revenues of 6 large dealer banks are used to study the bank dealers%u2019 market risks using a market factor model approach. Dealers%u2019 exposures to exchange rate, interest rate, equity, and credit market factors are estimated. A factor model framework for variable exposures is presented and two modeling approaches are used: a random coefficient model and rolling factor regressions. The results indicate small average market exposures with significant but relatively moderate variation in exposures over time. Except for interest rates, there is heterogeneity in market exposures across the dealers. For interest rates, the dealers have small average long exposures and exposures vary inversely with the level of rates. Implications for aggregate bank dealer risk and market stability issues are discussed. |
| 主题 | Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w11608 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569253 |
| 推荐引用方式 GB/T 7714 | James O',Brien,Jeremy Berkowitz. Estimating Bank Trading Risk: A Factor Model Approach. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11608.pdf（561KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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