Basel Committee proposes scrapping VAR
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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