Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework

In setting minimum capital requirements for trading portfolios, the Basel Committee on Banking Supervision (1996, 2011a, 2013) initially used Value‐at‐Risk (VaR), then both VaR and stressed VaR (SVaR), and most recently, stressed Conditional VaR (SCVaR). Accordingly, we examine the use of SCVaR to measure risk and set these requirements. Assuming elliptically distributed asset returns, we show that portfolios on the mean‐SCVaR frontier generally lie away from the mean‐variance (M‐V) frontier. In a plausible numerical example, we find that such portfolios tend to have considerably higher ratios of risk (measured by, e.g., standard deviation) to minimum capital requirement than those of portfolios on the M‐V frontier. Also, we find that requirements based on SCVaR are smaller than those based on both VaR and SVaR but exceed those based on just VaR. Finally, we find that requirements based on SCVaR are less procyclical than those based on either VaR or both VaR and SVaR. Overall, our paper suggests that the use of SCVaR to measure risk and set requirements is not a panacea.     

How Portugal Became an ‘Unplanned Country’: A Critique of Scholarship on Portuguese Urban Development and Planning

In this article, I seek to expose how scholars came to construct the idea that Portugal is an ‘unplanned country’— a product of disorderly growth. While urban scholarship has now challenged the hegemonic view of spatial order as a proxy for modernity, development and progress, Portuguese scholarship has remained largely impervious to these debates as it consistently offers a view of the Portuguese city as ‘not quite yet’ modern and civilized. Based on a review of accounts by key authors recognized for their prominence and contribution to contemporary Portuguese scholarship, I argue that rather than being a constitutive fact of or truth about the Portuguese urban condition, the ‘unplanned country’ operates as an intellectual and discursive construct that organizes the experience of modernity, urban growth and social transformation throughout the twentieth century. The article discusses how Portuguese scholarship constructs the ‘unplanned country’ idea through insufficient engagement with relevant research and debates in urban studies and is based on several empirical shortcomings. The article concludes by offering a preliminary research agenda to address these imbalances. I suggest that such efforts could enhance the relevance and contribution of the Portuguese urban experience to recent calls for epistemological renewal in urban theory production. Cet article explique comment les chercheurs ont bâti l'idée que le Portugal est un ‘pays sans planification’, le résultat d'une croissance confuse. La recherche urbaine a désormais bousculé la vision hégémonique de l'ordre spatial comme indicateur de modernité, de développement et de progrès, mais la plupart des auteurs portugais sont restés hermétiques à ces débats, puisqu'ils dépeignent systématiquement la ville portugaise comme ‘pas encore tout à fait’ moderne et civilisée. En analysant les travaux d'auteurs déterminants, reconnus pour leur importance et leur contribution à la recherche portugaise contemporaine, cette étude préconise que, loin d'être un fait constitutif ou une vérité pour la situation urbaine portugaise, le ‘pays sans planification’ agit comme une notion intellectuelle et rhétorique qui structure l'expérience de modernité, de croissance et de transformation sociale au cours du XX^e siècle. L'idée de ‘pays sans planification’ est née d'un manque d'implication dans la recherche et dans les débats pertinents en sciences urbaines, ainsi que de plusieurs erreurs empiriques à la base de certaines démonstrations. La conclusion propose un programme d'études préliminaires pour remédier à ces anomalies. Ces travaux pourraient renforcer l'intérêt et l'apport de l'expérience urbaine portugaise dans le cadre de récents appels à un renouveau épistémologique dans la production de théories urbaines.