This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility … normal levels. We investigate how the risks in convergence trading can affect price volatility in a form of positive feedback …

-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting that common factors …

business mix or risk weights than it is to differences in inter-risk correlations. A complex relationship between volatility …The goal of integrated risk management in a financial institution is to measure and manage risk and capital across a … range of diverse business activities. This requires an approach for aggregating risk types (market, credit, and operational …

Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …