Bundesbank research finds 'room for improvement' in Basel approach to tail risk
The Deutsche Bundesbank released a discussion paper on April 23 about the impact of the Basel bank supervision reform on banks' ability to take tail risk in their trading book without facing a capital requirement penalty.
Authors Gordon Alexander, Alexandre Baptista and Shu Yan state that while the Basel supervisory framework allows banks to engage in tail risk activities, they do not necessarily suffer from a capital requirement penalty. "The Basel framework leaves room for considerable
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