Risk management with interdependent choice
研究了交易者行为相互依赖如何放大价格波动风险，指出忽视这一特征的风险管理系统会严重误导真实风险，并对比了考虑相互依赖与传统方法在风险价值估计上的差异。
Risks faced by traders from price movements are sometimes magnified by the actions of other traders. Riskmanagement systems which neglect this feature may give a seriously misleading picture of the true risks. The hazards arising from this potential blindspot are at their most dangerous when the prevailing conventional wisdom lulls traders into a false sense of security on the attractiveness of a trading position. The efforts of one trader to reverse his trade makes more acute the need to follow suit on the part of others. For markets dominated by traders with short time horizons, such interdependence leads to exaggerated price movements. Estimates of ‘value at risk ’ which recognize such interdependence of actions can diverge substantially from those given by conventional techniques. I.