Replacing VAR, OIS discounting and the future of quant finance – the top stories of 2012

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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 a follow-up article, which itself was the fourth most read story of the year.

The Basel capital rul

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