Replacing VAR: smaller banks fear expected shortfall workload

Some banks worry they may not have enough data to implement expected shortfall safely

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Do banks have enough data to implement expected shortfall safely?

Outside a pub in London's swanky Mayfair district, the top quantitative analyst at one of the UK's biggest banks takes a gulp of his expensive lager, then shrugs in a not-my-problem kind of way. "Expected shortfall? It's not really an issue," he says. "Not for us, anyway."

Maybe so, but on the other side of the tracks, those banks with more modest resources offer a very different answer. For them the new risk measure, which the Basel Committee on Banking Supervision plans to use for trading book

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