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dc.contributor.authorAlexander, Gordon J.en_US
dc.contributor.authorBaptista, Alexandre M.en_US
dc.contributor.authorYan, Shuen_US
dc.date.accessioned2012-05-03en_US
dc.date.accessioned2012-05-09T09:58:34Z-
dc.date.available2012-05-09T09:58:34Z-
dc.date.issued2012en_US
dc.identifier.isbn978-3-86558-807-4en_US
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_US
dc.language.isoengen_US
dc.publisherDt. Bundesbank Frankfurt, M.en_US
dc.relation.ispartofseriesDiscussion Paper, Deutsche Bundesbank 09/2012en_US
dc.subject.jelG11en_US
dc.subject.jelG21en_US
dc.subject.jelG28en_US
dc.subject.jelD81en_US
dc.subject.ddc330en_US
dc.subject.keywordBank regulationen_US
dc.subject.keywordbank stabilityen_US
dc.subject.keywordBasel frameworken_US
dc.subject.keywordcrisisen_US
dc.subject.keywordtail risken_US
dc.titleBank regulation and stability: An examination of the Basel market risk frameworken_US
dc.typeWorking Paperen_US
dc.identifier.ppn715123149en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bubdps:092012-
Appears in Collections:Discussion Papers, Deutsche Bundesbank

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