Estimating Bank Trading Risk. A Factor Model Approach
Published Date
Copyright 2006
ISBN 9780226092850
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Copy CitationJames M. O'Brien and Jeremy Berkowitz, The Risks of Financial Institutions (University of Chicago Press, 2007), chap. 2, https://www.nber.org/books-and-chapters/risks-financial-institutions/estimating-bank-trading-risk-factor-model-approach.
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Published From Paper
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Working Paper
Risk in bank trading portfolios and its management are potentially important to the banks' soundness and to the...
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