Sending the herd off the cliff edge: The disturbing interaction between herding and market-sensitive risk management practices

Journal of Risk Finance

Volumn 2, Issue 1, 2000, Pages 59-65

  Persaud, Avinash ^a  

^a State Street Bank & Trust Co ^*  (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 77950505426     PISSN: 15265943     EISSN: 09657967     Source Type: Journal    
DOI: 10.1108/eb022947     Document Type: Article

References (10)

1. Ahuluwalia, M.S. “Key Issues in Reforming the Global Financial Architecture." Unpublished paper presented at The Commonwealth Finance Ministers Meeting, 1999.
2. “An Internal Model-Based Approach to Market Risk Capital Requirements." Bank for International Settlements, Basle, 1995.
3. Hansen, L.P., and R.J. Hodrick. “Risk Averse Speculation in the Forward Exchange Market." In J.A. Frenkel, ed., Exchange Rates and International Macroeconomics, Chicago: Chicago University Press, 1983.
4. Kumar, M.S., J. Chan-Lau, A. Richards, and T. Sloek. “Turbulence in Financial Markets: Trends and Crisis Episodes." IMF Working Paper, November 1999.
5. Morris, S., and Shin, H.S. “Risk Management with Interdependent Choice." Oxford Review of Economic Policy, Autumn 1999.
6. Persaud, A. “Investors’ Changing Appetite for Risk." J.P. Morgan Foreign Exchange Research, July 1996.
7. “Portfolio Flow Indicator." Technical document, State Street Bank and FDO Partners, 1999.
8. RiskMetrics Technical Manual, RiskMetrics Group, London, 1999.
9. Shiller, R. “Investor Behavior." October 1987 Stock Market Crash: Survey Evidence. NBER Discussion paper 2446, 1990.
10. Supervisory Treatment of Market Risks, Basel Committee on Banking Supervision, 1993.