What Market Risk Capital Reporting Tells Us about Bank Risk

[...]Our analysis suggests that, when we look across banks, themarket risk capital figures provide little additional informationabout the extent of an institution’s market risk exposurebeyond that conveyed by simply knowing the relative size of thetrading account. In contrast, when we look at individual banksover time, the market risk capital requirements do appear toprovide information that is not available from other datacontained in regulatory reports. These findings suggest that themarket risk capital figures reported by bank holding companiesare most useful for tracking changes in market risk exposuresat individual banks over time.[...]