Practitioners have used and disclosed VaR since the 1990s. The Basel Committee on Banking Supervision has proposed
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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 sufficiently unfavorable outcomes. Discuss how this will change the reporting of risks under FRR No. 48.
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FRR 48 allows three risk disclosure formats VaR sensitivity or tabular ...View the full answer
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