Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - In: Journal of Economic Behavior & Organization 85 (2013) C, pp. 249-268
recent crisis, the Basel Committee on Banking Supervision (2011) revised its regulatory framework for trading portfolios. In … one based on the revised framework tends to be less effective in controlling tail risk. Second, the minimum capital … requirements set by the revised framework are much less likely to be wiped out by trading losses than those set by the original …