Skip to main content

Associations send repo VAR protest to Basel Committee

US and UK industry associations have sent a joint letter to the Basel Committee on Banking Supervision expressing their "disappointment" that the multipliers for portfolio value-at-risk modelling of repo counterparty exposure will not be altered in the upcoming third consultation paper (CP3), expected in May.

The procedure for modelling repo counterparty VAR is found in paragraph 144 of the technical guidance, published alongside the third Quantitative Impact Study (QIS3) in October 2002. The paragraph calls for the back testing of VAR models using the most recent 250 daily observations. “Depending on the number of exceptions exceeding the ninety-ninth percentile confidence level, the output of the

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net 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 Risk.net? View our subscription options

Want to know what’s included in our free membership? Click here

Show password
Hide password

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net 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