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Trading book and credit risk: How fundamental is the Basel review?

Author

Listed:
  • Jean-Paul Laurent

    (PRISM Sorbonne - Pôle de recherche interdisciplinaire en sciences du management - UP1 - Université Paris 1 Panthéon-Sorbonne)

  • Michael Sestier

    (PRISM Sorbonne - Pôle de recherche interdisciplinaire en sciences du management - UP1 - Université Paris 1 Panthéon-Sorbonne)

  • Stéphane Thomas

    (Phast Solutions)

Abstract

No abstract is available for this item.

Suggested Citation

  • Jean-Paul Laurent & Michael Sestier & Stéphane Thomas, 2016. "Trading book and credit risk: How fundamental is the Basel review?," Post-Print hal-03676300, HAL.
    • Handle: RePEc:hal:journl:hal-03676300
    DOI: 10.1016/j.jbankfin.2016.07.002
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    Cited by:

    1. Angelo D. Joseph, 2023. "Emerging Market Default Risk Charge Model," JRFM, MDPI, vol. 16(3), pages 1-18, March.
    2. Frédéric Vrins, 2018. "Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint," Risks, MDPI, vol. 6(3), pages 1-13, June.
    3. Ripamonti, Alexandre, 2020. "Financial institutions, asymmetric information and capital structure adjustments," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 75-83.
    4. Ioannis Anagnostou & Tiziano Squartini & Drona Kandhai & Diego Garlaschelli, 2020. "Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling," Papers 2006.03014, arXiv.org, revised Apr 2021.

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