What market risk capital reporting tells us about bank risk.

From: Federal Reserve Bank of New York Economic PolicyReview | Date: September 1, 2003| Author: | Copyright information

* Since 1998, U.S. bank holding companies with large trading operations have been required to hold capital sufficient to cover the market risks in their trading portfolios. The capital amounts that each institution must hold, disclosed in publicly available regulatory reports, appear to offer new information about the market risk exposures undertaken by these institutions.

* An empirical analysis suggests that the market risk capital figures do, in fact, provide information about the evolution of individual institutions' risk exposures over time that is not found in other ...

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