Basel Committee proposes scrapping VAR
Review recommends switch to expected shortfall, postpones CVA charge overhaul, and retains split between banking and trading books
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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