2,287
Views
51
CrossRef citations to date
0
Altmetric
Original Articles

Predicting the unpredictable: Value-at-risk, performativity, and the politics of financial uncertainty

REFERENCES

  • Abdelal, R., Blyth, M. and Parsons, C. (2010) ‘Introduction’, in R. Abdelal, M. Blyth, C. Parsons (eds.) Constructing the International Economy, Ithaca: Cornell University Press.
  • Baker, A. (2013) ‘The New Political Economy of the Macroprudential Ideational Shift’, New Political Economy, 18(1): 112–139.
  • Baker, A. (2014) ‘Transnational Technocracy and the Macroprudential Paradox’, in T. Porter (ed.) Transnational Financial Regulation after the Crisis, New York: Routledge, 2014.
  • Baker-Said, S. and Logutenkova, E. (2008) ‘UBS $100 Billion Wager Prompted $24 Billion Loss in Nine Months’, Bloomberg, [online] Available at: <http://www.bloomberg.com/apps/news?pid=newsarchive&sid=a3sm9FOrsWcg>.
  • Barnett, M. and Duvall, R. (Winter 2005) ‘Power in International Politics’, International Organization, 59(1): 39–75.
  • Basel Committee on Banking Supervision. (1995a) An internal model-based approach to market risk capital requirements, Basel: Bank for International Settlements.
  • Basel Committee on Banking Supervision. (1995b) Proposal to issue a Supplement to the Basel Capital Accord to cover market risks, Basel: Bank for International Settlements.
  • Basel Committee on Banking Supervision. (1996a) Overview of the Amendment to the Capital Accord to Incorporate Market Risk, Basel: Bank for International Settlements.
  • Basel Committee on Banking Supervision. (1996b) Amendment to the Capital Accord to Incorporate Market Risks, Basel: Bank for International Settlements.
  • Basel Committee on Banking Supervision. (2009) Consultative Document: Revisions to the Basel II Market Risk Framework, Basel: Bank for International Settlements.
  • Basel Committee on Banking Supervision. (2011) Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems, Basel: Bank for International Settlements.
  • Basel Committee on Banking Supervision. (2006) International Convergence of Capital Measurement and Capital Standards, A Revised Framework, Basel: Bank for International Settlements.
  • Berger, S. (ed.) (2009) The Foundations of Non-Equilibrium Economics: The principle of circular and cumulative causation, New York: Routledge.
  • Bernhard, W., Broz, J.L. and Clark, W.R. (Autumn 2002) ‘The Political Economy of Monetary Institutions’, International Organization, 56(4): 693–723.
  • Bernstein, P.L. (1998) Against the Gods: The Remarkable Story of Risk, New York: John Wiley & Sons.
  • Bhidé, A. (2010) A Call for Judgment: Sensible Finance for a Dynamic Economy, New York: Oxford University Press.
  • Blyth, M. (2003) ‘The Political Power of Financial Ideas: Transparency, Risk, and Distribution in Global Finance’, in J. Kirshner (ed.) Monetary Orders: Ambiguous Economics, Ubiquitous Politics, Ithaca: Cornell University Press.
  • Borio, C. (2009) ‘Implementing the Macroprudential Approach to Financial Regulation and Supervision’, Banque de France Financial Stability Review, 13: 31–41.
  • Breslau, D. (2003) ‘Economics Invents the Economy: Mathematics, Statistics, and Models in the Work of Irving Fisher and Wesley Mitchell’, Theory and Society, 32(3): 379–411.
  • Brown, A. (June/July 2008) ‘Counterpoint: Capital Inadequacy’, Global Association of Risk Professionals, 42: 10–26.
  • Brown, A. (March 2004) ‘The Unbearable Lightness of Cross-Market Risk’, Wilmott Magazine, 10: 20–23.
  • Buck, R.C. (1963) ‘Reflexive Predictions’, Philosophy of Science, 30(4): 361–362.
  • Büthe, T. and Mattli, W. (2011) The New Global Rulers: The Privatization of Regulation in the World Economy, Princeton: Princeton University Press.
  • Cameron, M. (3 October 2011) ‘Margin Models Converge as CCPs Battle for Dealer Support’, Risk Magazine, [online] Available at: <http://www.risk.net/risk-magazine/feature/2111799/margin-models-converge-ccps-battle-dealer-support>.
  • Davidson, P. (Winter 1982–3) ‘Rational Expectations: A Fallacious Foundation for Studying Crucial Decision-making Processes’, Journal of Post-Keynesian Economics, 5(2): 182–198.
  • de Goede, M. (2004) ‘Repoliticizing Financial Risk’, Economy and Society, 33(2): 197–217.
  • de Goede, M. (2005) Virtue, Fortune, Faith: A Genealogy of Finance, Minneapolis: University of Minnesota Press.
  • Derivatives Strategy. (1997) ‘The World According to Nassim Taleb’, [online] Available at: <http://www.derivativesstrategy.com/magazine/archive/1997/1296qa.asp>.
  • Derivatives Strategy. (1998) ‘Roundtable: The Limits of VAR’, [online]. Available at: <http://www.derivativesstrategy.com/magazine/archive/1998/0498fea1.asp>.
  • Derman, E. (2011) Models.Behaving.Badly: Why confusing illusion with reality can lead to disaster on Wall Street and in life, New York: Free Press.
  • Dunbar, N. (2000) Inventing Money: The Story of Long-Term Capital Management and the Legends Behind It, New York: Wiley.
  • Einhorn, D. (2008) ‘Private Profits and Socialized Risk’, Global Association of Risk Professionals, 42: 10–26.
  • Foucault, M. (1980) ‘Body/Power’, in Gordon, C. (ed) Power/Knowledge: Selected Interviews and Other Writings 1972–1977, New York: Vintage Books.
  • Frieden, J. (September 1991) ‘Invested Interests: The Politics of National Economic Policies in a World of Global Finance’, International Organization, 45(4): 425–454.
  • Gauthier, C., Lehar, A. and Souissi, M. (2010) ‘Macroprudential Regulation and Systemic Capital Requirements’, Bank of Canada Working Paper 2010–4.
  • Giddens, A. (1990) The Consequences of Modernity, Stanford: Stanford University Press.
  • Global Derivatives Study Group. (July 1993) ‘Derivatives: Practice and Principles’, Washington, DC: G–30.
  • Gopalakrishna, G. (2013) ‘Inaugural speech by Mr G Gopalakrishna, Executive Director of the Reserve Bank of India’, Federal Reserve System Market Risk Analysis Seminar, New Delhi, 21 Jan. [online]. Available at: <http://www.bis.org/review/r130124e.pdf>.
  • Guldimann, T. (January 2000) ‘The Story of RiskMetrics’, Risk, 13(1): 56–58.
  • Haldane, A.G. (2012) ‘The dog and the Frisbee’, In The Federal Reserve Bank of Kansas City's 36th Economic Policy Symposium – ‘The Changing Policy Landscape’, Jackson Hole, WY, 31 Aug. [online]. Available at: <http://www.bankofengland.co.uk/publications/Documents/speeches/2012/speech596.pdf>.
  • Hanson, S.G., Kashyap, A.K. and Stein, J.C. (2011) ‘A Macroprudential Approach to Financial Regulation’, Journal of Economic Perspectives, 25(1): 3–28.
  • Hayward, C.R. (2000) De-Facing Power, Cambridge, UK: Cambridge University Press.
  • Henriksen, L.F. (2013) ‘Performativity and the Political of Equipping for Calculation: Constructing a Global Market for Microfinance’, International Political Sociology, 7(4): 406–425.
  • Hendricks, D. (1996) ‘Evaluation of Value-at-Risk Models Using Historical Data’, FRBNY Economic Policy Review, 2(1): 39–69.
  • Holton, G.A. (2003) Value-at-Risk: Theory and Practice, San Diego, CA: Elsevier Academic Press.
  • Hoppe, R. (July 1998) ‘VaR and the Unreal World’, Risk, 11(7): 45–50.
  • Hull, J. (2007) ‘VAR vs. Expected Shortfall’, Risk, [online] Available at: <http://www.risk.net/risk-magazine/technical-paper/1506669/var-versus-expected-shortfall>.
  • Morgan/Reuters, J.P. (1996). RiskMetrics Technical Document, Fourth Edition, New York: Reuters.
  • Jorion, P. (1997a) Value at Risk: The New Benchmark for Controlling Market Risk, Chicago: Irwin Professional Publishers.
  • Jorion, P. (1997b) ‘In Defense of VAR’, Derivatives Strategy, [online] Available at: <http://www.derivativesstrategy.com/magazine/archive/1997/0497fea2.asp>.
  • Katzenstein, P.J. and Nelson, S.C. (2013) ‘Reading the right signals and reading the signals right: IPE and the financial crisis of 2008’, Review of International Political Economy, 20(5): 1101–1131.
  • Keynes, J.M. (1937) ‘The General Theory of Employment’, Quarterly Journal of Economics, 51(2): 209–223.
  • Keynes, J.M. (2007) The General Theory of Employment, Interest, and Money, Basingstoke: Palgrave MacMillan.
  • Kirshner, J. (ed.) (2002) Monetary Orders: Ambiguous Economics, Ubiquitous Politics, Ithaca: Cornell University Press.
  • Kolman, J. (1999) ‘LTCM Speaks’, Derivatives Strategy, [online] Available at: <http://www.derivativesstrategy.com/magazine/archive/1999/0499fea1.asp>.
  • Kopecki, D. and Hopkins, C. (2013) ‘OCC Said to Admit Missing JPMorgan's VaR Change in Probe’, Bloomberg, 3 Feb. [online] Available at: <http://www.bloomberg.com/news/2013-02-01/occ-said-to-admit-it-missed-jpmorgan-var-change-in-senate-probe.html>.
  • Kregel, J.A. and Nasica, E. (2011) ‘Uncertainty and Rationality: Keynes and Modern Economics’, in S.M.D. Brandolini, and R. Scazzieri (eds.) Fundamental Uncertainty: Rationality and Plausible Reasoning, New York: Palgrave Macmillan.
  • Kuritzkes, A. and Schuermann, T. (2010) ‘What We Know, Don't Know, and Can't Know about Bank Risk’, in F.X. Diebold, N.A. Doherty, R.J. Herring (eds.) The Known, the Unknown, and the Unknowable in Financial Risk Management, Princeton: Princeton University Press.
  • Lake, D.A. (2009) ‘Open economy politics: a critical review’, Review of International Organizations, 4(3): 219–244.
  • Latsis, J., de Larquier, G. and Bessis, F. (2010) ‘Are conventions solutions to uncertainty? Contrasting visions of social coordination’, Journal of Post-Keynesian Economics, 32(4): 535–558.
  • Litzenberger, R.H. and Modest, D.M. (2010) ‘Crisis and Noncrisis Risk in Financial Markets’, in F.X. Diebold, N.A. Doherty, R.J. Herring (eds.) The Known, the Unknown, and the Unknowable in Financial Risk Management, Princeton: Princeton University Press.
  • MacKenzie, D. (2008) An Engine, Not a Camera: How Financial Models Shape Markets, Cambridge, MA: MIT Press.
  • MacKenzie, D., Muniesa, F. and Siu, L. (eds.) (2007) Do Economists Make Markets? On the Performativity of Economics, Princeton: Princeton University Press.
  • Mandelbrot, B. and Taleb, N.N. (2010) ‘Mild vs. Wild Randomness: Focusing on Those Risks That Matter’, in F.X. Diebold, N.A. Doherty, R.J. Herring (eds.) The Known, the Unknown, and the Unknowable in Financial Risk Management, Princeton: Princeton University Press.
  • Martin, M. (1977) ‘The Philosophical Importance of the Rosenthal Effect’, Journal for the Theory of Social Behavior, 7(1): 81–97.
  • McKeen-Edwards, H. and Porter, T. (2013) Transnational Financial Associations and the Governance of Global Finance: Assembling Wealth and Power, New York: Routledge.
  • Millo, Y. and MacKenzie, D. (2009) ‘The Usefulness of Inaccurate Models: Towards an Understanding of the Emergence of Financial Risk Management’, Accounting, Organizations and Society, 34: 638–653.
  • Nelson, S. and Katzenstein, P.J. (2014) ‘Uncertainty, Risk, and the Financial Crisis of 2008’, International Organization, 68: 1–32.
  • Nocera, J. (2009) ‘Risk Mismanagement’, The New York Times, 2. Jan. [online]. Available at: <http://www.nytimes.com/2009/01/04/magazine/04risk-t.html?pagewanted=all&_r=0>.
  • Partnoy, F. (2007) ‘How and Why Credit Rating Agencies Are Not Like Other Gatekeepers’, in Y. Fuchita, R.E. Litan (eds.) Financial Gatekeepers: Can They Protect Investors?, Washington, DC: Brookings Institution Press.
  • Pérignon, C. and Smith, D.R. (2010) ‘The level and quality of Value-at-Risk disclosure by commercial banks’, Journal of Banking and Finance, 34(2): 362–377.
  • Persaud, A. (2009) ‘Macro-Prudential Regulation: Fixing Fundamental Market (and Regulatory) Failures’, Crisis Response: Public Policy for the Private Sector, Washington, DC: World Bank Group.
  • Pickering, A. (1994) ‘After Representation: Science Studies in the Performative Idiom’, Proceedings of the Biannual Meeting of the Philosophy of Science Association, Vol. 2: Symposia and Invited Papers: 413–419.
  • Porter, T. (1995) Trust in Numbers: The Pursuit of Objectivity in Science and Public Life, Princeton: Princeton University Press.
  • Rathbun, B.C. (2007) ‘Uncertain about Uncertainty: Understanding the Multiple Meanings of a Crucial Concept in International Relations Theory’, International Studies Quarterly, 51(3): 533–557.
  • Reddy, S.G. (1996) ‘Claims to expert knowledge and the subversion of democracy: the triumph of risk over uncertainty’, Economy and Society, 25(2): 222–254.
  • Richardson, P. (1995–6) ‘Do the Basle Market Risk Proposals Make Sense?’, Derivatives Strategy, [online]. Available at: <http://www.derivativesstrategy.com/magazine/archive/1995--1996/0696rtbl.asp>.
  • Riles, A. (2010) ‘Collateral Expertise: Legal Knowledge in the Global Financial Markets’, Current Anthropology, 51(6): 795–818.
  • Rona-Tas, A. and Hiss, S. (2010) ‘The Role of Ratings in the Subprime Mortgage Crisis: The Art of Corporate and the Science of Consumer Credit Rating’, in M. Lounsbury, P.M. Hirsch (eds.) Markets on Trial: The Economic Sociology of the U.S. Financial Crisis: Part A (Research in the Sociology of Organizations, Volume 30A), Bingley, UK: Emerald Group Publishing Limited, pp. 115–155.
  • Silver, N. (2012) The Signal and the Noise: Why So Many Predictions Fail – But Some Don't, New York: Penguin Press.
  • Sinclair, T.J. (2005) The New Masters of Capital: American Bond Rating Agencies and the Politics of Creditworthiness, Ithaca: Cornell University Press.
  • Soros, G. (2009a) ‘General Theory of Reflexivity’, Financial Times, 26 Oct. [online] Available at: <http://www.ft.com/intl/cms/s/2/0ca06172-bfe9--11de-aed2--00144feab49a.html#axzz2bKLStmmt>.
  • Soros, G. (2009b) ‘Financial Markets’, Financial Times, 26 Oct. [online] Available at: <http://www.ft.com/intl/cms/s/2/dbc0e0c6-bfe9--11de-aed2--00144feab49a.html#axzz2bKLStmmt>.
  • Soros, G. (2008) The New Paradigm for Financial Markets: The Credit Crisis of 2008 and What It Means, New York: PublicAffairs.
  • Taleb, N. (1997) ‘Against VaR’, Derivatives Strategy, [online] Available at: <http://www.derivativesstrategy.com/magazine/archive/1997/0497fea2.asp>.
  • Tett, G. (2009) Fool's Gold: The Inside Story of J.P. Morgan and How Wall St. Greed Corrupted Its Bold Dream and Created a Financial Catastrophe, New York: Free Press.
  • Tsingou, E. (2006) ‘The Governance of OTC Derivatives Markets’, in P. Mooslechner, H. Schuberth, B. Weber (eds.) The Political Economy of Financial Market Regulation: The Dynamics of Inclusion and Exclusion, Cheltenham, UK: Edward Elgar.
  • Tuckett, D. (2011) Minding the Markets: An Emotional View of Financial Instability, New York: Palgrave MacMillan.
  • Underhill, G.R.D. and Zhang, X. (2008) ‘Setting the Rules: Private Power, Political Underpinnings, and Legitimacy in Global Monetary and Financial Governance’, International Affairs, 84(3): 535–554.
  • United States Senate. (2013) ‘JP Morgan Chase Whale Trades: A Case History of Derivatives Risks and Abuses’, Washington, DC: Permanent Subcommittee on Investigations. 15 March 2013.
  • The Warwick Commission on International Financial Reform. (2009) In Praise of Unlevel Playing Fields, Warwick: University of Warwick.
  • Wendt, A. (Spring 1992) ‘Anarchy is what states make of it: the social construction of power politics’, International Organization, 46(2): 391–425.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.