Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/57780 
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dc.contributor.authorAlexander, Gordon J.en
dc.contributor.authorBaptista, Alexandre M.en
dc.contributor.authorYan, Shuen
dc.date.accessioned2012-05-03-
dc.date.accessioned2012-05-09T09:58:34Z-
dc.date.available2012-05-09T09:58:34Z-
dc.date.issued2012-
dc.identifier.isbn978-3-86558-807-4en
dc.identifier.urihttp://hdl.handle.net/10419/57780-
dc.description.abstractIn attempting to promote bank stability, the Basel Committee on Banking Supervision (2006) provides a framework that seeks to control the amount of tail risk that large banks take in their trading books. However, banks around the world suffered sizeable trading losses during the recent crisis. Due to the size and prevalence of losses, a formal examination of whether the Basel framework allows banks to take substantive tail risk in their trading books without a capital requirement penalty is of particular interest. In this paper, we provide such an examination and show that the Basel framework indeed allows banks to do so. Hence, our paper supports the view that the Basel framework leaves room for considerable improvements regarding the treatment of tail risk.en
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aBundesbank Discussion Paper |x09/2012en
dc.subject.jelG11en
dc.subject.jelG21en
dc.subject.jelG28en
dc.subject.jelD81en
dc.subject.ddc330en
dc.subject.keywordBank regulationen
dc.subject.keywordbank stabilityen
dc.subject.keywordBasel frameworken
dc.subject.keywordcrisisen
dc.subject.keywordtail risken
dc.titleBank regulation and stability: An examination of the Basel market risk framework-
dc.typeWorking Paperen
dc.identifier.ppn715123149en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdps:092012en

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