Articles with "regulation trading" as a keyword



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Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework

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Published in 2017 at "Journal of Money, Credit and Banking"

DOI: 10.1111/jmcb.12392

Abstract: In setting minimum capital requirements for trading portfolios, the Basel Committee on Banking Supervision (1996, 2011a, 2013) initially used Value-at-Risk (VaR), then both VaR and stressed VaR (SVaR), and most recently, stressed Conditional VaR (SCVaR).… read more here.

Keywords: regulation trading; capital; trading portfolios; bank capital ... See more keywords