Fallacies about the effects of market risk management systems
This paper takes another look at allegations that risk management systems have contributed to increased volatility in financial markets, with the particular example of the summer of 1998. The paper also provides new evidence on the potential effect of VAR-based market risk charges for commercial banks under the Basel Accord.
Online References:
Anderson, N., and Breedon, F. (2000). Fifty years of UK asset price volatility. Journal of Risk 2 (Spring), 63–77.
Artzner, P., Delbaen, F., Eber, J.-M., and Heath, D. (1999). Coherent measures of risk.Mathematical Finance 9 (July), 203–28.
Basak, S. (2002). A comparative study of portfolio insurance. Journal of Economic Dynamicsand Control 26 (July)
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