Risk research: Incentives for effective risk management

Incentives for effective risk management

Daníelsson, J., B. N. Jorgensen, and C. G. de Vries (2002). Incentives for effective risk management. Journal of Banking and Finance 26(7), 1407–1425.

Under the new Capital Accord banks can choose between different type of risk management systems. Using a stylized model of risk management systems which differ in quality and by modelling the relationship between the bank board and the risk manager, we consider the incentives for the adoption of a particular system. We show that in some cases banks may adversely adopt an unsophisticated risk management system in order to evade regulation.

@ARTICLE{DanielssonJorgensenVries2002,
  author =  {J{\'o}n Dan{\'i}elsson  and B. N. Jorgensen and C. G. de
                  Vries},
  title =   {Incentives for effective risk management},
  journal = "Journal of Banking and Finance",
  volume =  {26(7)},
  pages =   {1407--1425},
  year =    2002,
 }

Real trading patterns and prices in spot foreign exchange markets

The inter-temporal nature of risk