Estimating Bank Trading Risk: A Factor Model Approach
收藏NBER2005-09-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w11608
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资源简介：
Risk in bank trading portfolios and its management are potentially important to the banks' 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' market risks using a market
提供机构：
美国国家经济研究局
创建时间：
2005-09-01
