Does regulators’ favourite climate risk metric measure up?

FSB and Basel Committee back climate VAR, but practitioners will take some convincing

Even before the 2008 financial crisis, the suitability of value-at-risk as a tool for risk management was being questioned. It struggles to measure tail risks, and can be too dependent on historic data to accurately assess unprecedented events.

And yet now, VAR might be given a new lease of life, as a way to measure a potentially catastrophic risk that by definition has no historical precedent.

Inspired by an academic paper from 2016, the Financial Stability Board and Basel Committee on

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here