Basel Committee considers ditching VAR as risk-capital gauge

02/29/2012 | Risk.net (subscription required)

The Basel Committee on Banking Supervision is considering replacing value at risk as the prominent gauge for calculating market-risk capital. Insiders say the likely alternative -- expected shortfall -- isn't ideal either. "If regulators swap VAR for expected shortfall, it would make things worse," said Aaron Brown, chief risk officer at hedge fund AQR Capital. "VAR is nice because it is objective. Given a portfolio and the right data, everyone will agree on it."

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