Attenti a quel rischio

Basilea 2


L'assetto di Basilea 2 presenta qualche falla, e la crisi creditizia ne ha imposto il riconoscimento. I risk manager hanno sicuramente sottostimato i rischi di default, di correlazione e di liquidità, ma anche la misura del VAR usata per il calcolo dei requisiti patrimoniali a fronte del portafoglio di negoziazione (o trading book) ha dimostrato di non saper cogliere tutti i rischi associati ai prodotti cartolarizzati complessi.

Con l'esplosione della recente fase di turbolenza finanziaria, le

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