Basel risk limits will not curb rogue traders

Research output: Contribution to specialist publicationFeatured article


The Basel Accords oblige banks to use two methods to measure and limit risk – value at risk and expected shortfall – but research shows these are insufficient to curtail the behaviour of rogue traders. Damiano Brigo and John Armstrong suggest a different approach.


Dive into the research topics of 'Basel risk limits will not curb rogue traders'. Together they form a unique fingerprint.

Cite this