Replacing VAR, OIS discounting and the future of quant finance – the top stories of 2012
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
The revelation in February that the Basel Committee on Banking Supervision was considering scrapping the use of value-at-risk as the basis for modelling market risk capital was the most viewed story on Risk.net in 2012. The committee eventually released its long-awaited review of trading book rules in May - and, as anticipated, suggested expected shortfall as an alternative measure, as detailed in
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