NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Estimating Bank Trading Risk. A Factor Model Approach

James M. O'Brien, Jeremy Berkowitz

Chapter in NBER book The Risks of Financial Institutions (2006), Mark Carey and René M. Stulz, editors (p. 59 - 102)
Conference held October 22-23, 2004
Published in January 2007 by University of Chicago Press
© 2006 by the National Bureau of Economic Research

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This chapter first appeared as NBER working paper w11608, Estimating Bank Trading Risk: A Factor Model Approach, James O'Brien, Jeremy Berkowitz
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