Goodbye VAR? Basel to consider other risk metrics
A review of trading book capital rules, due to be launched in March by the Basel Committee on Banking Supervision, will consider ditching value-at-risk as the main measure on which market risk capital is calculated, sources say – but it may not be easy to find a replacement.
Value-at-risk uses historical data to estimate the most a bank can expect to lose on a portfolio over a given period, and was first allowed to be used in regulatory capital modelling in 1996. Its forecasts are of limited use
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