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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.
Full paper (53 KB PDF)
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