

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Regulation
Investing
The closer quants look, the less diversifying crypto appears
Analysis seems to confirm that the asset class is not an effective diversification play
Receive this by email