Practitioners have used and disclosed var since the 1990s


Question: Practitioners have used and disclosed VaR since the 1990s. The Basel Committee on Banking Supervision has proposed replacing VaR with a different one-sided risk measure called expected shortfall, which represents the average VaR among all suf- ficiently unfavorable outcomes. Discuss how this will change the reporting of risks under FRR No. 48.

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Risk Management: Practitioners have used and disclosed var since the 1990s
Reference No:- TGS02273919

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