Bank Trading Risk and Systemic Risk

Philippe Jorion

NBER Working Paper No. 11037
Issued in January 2005
NBER Program(s):   CF

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.

(183 K)

Published:

• 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. ,
• Bank Trading Risk and Systemic Risk, Philippe Jorion, in The Risks of Financial Institutions (2006), University of Chicago Press
  

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