Basel risk limits will not curb rogue traders -

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Damiano Brigo, John Armstrong Tuesday, 1 May 2018

The Basel Accords oblige banks to use two methods to measure and limit risk – value at risk and expected shortfall – but research shows these are insufficient to curtail the behaviour of rogue traders. Damiano Brigo and John Armstrong suggest a different approach.

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Basel risk limits will not curb rogue traders

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