Basel risk limits will not curb rogue traders

TY - GEN

T1 - Basel risk limits will not curb rogue traders

AU - Armstrong, John

AU - Brigo, Damiano

PY - 2018/5/1

Y1 - 2018/5/1

N2 - 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.

AB - 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.

M3 - Featured article

SN - 0005-5395

JO - The Banker

JF - The Banker

ER -