Basel Committee Proposes Using Expected Shortfall Instead of VaR in Market Risk Management
Posted on 4 May 2012 Category: Product Announcements Tags: Basel 2.5, Expected Shortfall, Market Risk, Market Risk Amendment, NtInsight®, VaR
Numerical Technologies ready to support requirement with NtInsight®, its flagship financial risk management software, which has been designed to calculate both VaR and expected shortfall (also known as CVaR or tail-VaR) with fat-tail awareness.
SINGAPORE – 4 MAY 2012 – Yesterday, the Basel Committee on Banking Supervision (BCBS) has published a consultative document which presents the Basel Committee’s initial proposals with regards to trading book capital requirement policies. A key element of the proposal is moving the quantitative risk metrics system from VaR to expected shortfall.