Risk.net poll: Industry divided over plan to scrap VAR

Laurie Carver
13 Jun 2012

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A poll of Risk.net readers shows a sharp divide over the Basel Committee on Banking Supervision's proposal to use expected shortfall to calculate trading book capital requirements, instead of the long-standing value-at-risk metric.

The poll asked readers if they agreed with the proposal, and the 992 respondents were split almost evenly: 54% were in favour, with 46% against.

VAR has attracted public criticism because it is seen as neglecting the unlikeliest events, allowing firms – and investors

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