Stressed VAR questioned by risk managers
Risk managers believe a new capital charge based on stressed value-at-risk – finalised by the Basel Committee last July – is intellectually inconsistent and could potentially be troublesome for banks to implement.
Although most of the recent industry attention has been focused on December's release of Basel III rules, the stressed VAR charge is arguably a more pressing issue for dealers. Basel III is due to be phased in between January 2013 and January 2019, whereas the stressed VAR charge is
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