Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule
Journal of International Money and Finance(2021)
Abstract
•The Basel framework sets minimum capital requirements for bank trading portfolios .•It bases these requirements on stressed Conditional Value-at-Risk.•In the US, the Volcker rule restricts the composition of bank trading portfolios.•The Basel framework and Volcker rule are deficient in regulating such portfolios.•Basing minimum capital requirements on standard deviation is an improvement.
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Key words
D81,G11,G21,G28
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