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Information systems for risk management

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  • Michael S. Gibson
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    Abstract

    Risk management information systems are designed to overcome the problem of aggregating data across diverse trading units. The design of an information system depends on the risk measurement methodology that a firm chooses. Inherent in the design of both a risk management information system and a risk measurement methodology is a tradeoff between the accuracy of the resulting measures of risk and the burden of computing them. Technical progress will make this tradeoff more favorable over time, leading firms to implement more accurate methodologies, such as full revaluation of nonlinear positions. The current and likely future improvements in risk management information systems make feasible new ways of collecting aggregate data on firms' risk-taking activities.

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    File URL: http://www.federalreserve.gov/pubs/ifdp/1997/585/default.htm
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    File URL: http://www.federalreserve.gov/pubs/ifdp/1997/585/ifdp585.pdf
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    Bibliographic Info

    Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 585.

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    Date of creation: 1997
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    Handle: RePEc:fip:fedgif:585

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    Related research

    Keywords: Risk ; Information theory;

    References

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    1. Bernardo, Antonio E & Cornell, Bradford, 1997. " The Valuation of Complex Derivatives by Major Investment Firms: Empirical Evidence," Journal of Finance, American Finance Association, vol. 52(2), pages 785-98, June.
    2. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    3. Matthew Pritsker, 1997. "Evaluating Value at Risk Methodologies: Accuracy versus Computational Time," Journal of Financial Services Research, Springer, vol. 12(2), pages 201-242, October.
    4. Barone-Adesi, Giovanni & Whaley, Robert E, 1987. " Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-20, June.
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    Cited by:
    1. Martin Cihak, 2004. "Stress Testing: A Review of Key Concepts," Research and Policy Notes 2004/02, Czech National Bank, Research Department.
    2. Allen B. Frankel, 1998. "Issues in financial institution capital in emerging market economies," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 213-223.
    3. Michael S. Gibson, 1998. "The implications of risk management information systems for the organization of financial firms," International Finance Discussion Papers 632, Board of Governors of the Federal Reserve System (U.S.).

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