IDEAS home Printed from
   My bibliography  Save this book

The measurement of aggregate market risk


  • Bank for International Settlements


Preface This volume contains papers produced for the Euro-currency Standing Committee in a joint effort by researchers at several central banks. The papers address measurement of market risk, market dynamics, market liquidity, and the role that information plays in determining market outcomes in unsettled circumstances. The Committee believes that the research undertaken will be of interest to a wider audience, including market participants and the academic community. In publishing the papers, the Committee hopes to stimulate further research in these areas. The papers represent the views of the authors and not necessarily those of the central banks with which they are affiliated nor that of the Euro-currency Standing Committee. In July 1996, the BIS published a report of a working group of the Committee, chaired by Shinichi Yoshikuni of the Bank of Japan, which recommended the establishment of a reporting system on activities in global derivatives markets. That reporting system is to be implemented in 1998. The Report recognised that data on derivatives positions, while indispensable for tracking changes in the size and structure of derivatives markets over time, would shed limited light on how overall portfolio values and market conditions might change in the face of price shocks. The behaviour of markets in the face of shocks has long been an area of fundamental central bank interest and responsibility. When the papers in this volume were discussed by the Committee in May 1997, the Committee accepted the researchers' conclusion that this research did not establish an adequate technical basis or adequate justification for collecting aggregate market risk data. However, the Committee decided to encourage continuing work on other aspects of market behaviour addressed in these papers. In particular, in line with its mandate to monitor sources of potential instability in financial markets, the Committee will continue to encourage and review research on market functioning and price dynamics under stress. Toshihiko Fukui, Chairman, Euro-currency Standing Committee Senior Deputy Governor, Bank of Japan

Suggested Citation

  • Bank for International Settlements, 1997. "The measurement of aggregate market risk," CGFS Papers, Bank for International Settlements, number 07.
  • Handle: RePEc:bis:biscgf:07

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bis:biscgf:07. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Beslmeisl). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.