Basel Committee proposes scrapping VAR

Laurie Carver
03 May 2012

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The Basel Committee on Banking Supervision has proposed scrapping value-at-risk as the basis for modelling market risk capital requirements, in its long-awaited review of trading book rules, published today. The replacement for VAR would be expected shortfall, which measures the expected value of losses above a given confidence level.

In addition, the review fends off calls for an overhaul of the Basel III credit value adjustment charge – it says the committee will look at the issue, but for

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