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Stressed Value-at-Risk To Be Required by the Revised Basel II Capital Framework

August 1, 2009

Analysis of:Basel II capital framework enhancements announced by the Basel Committee | www.bis.org

The global economic crisis of 2007-8 and the resulting unexpected massive losses suffered by financial institutions prove that standard Value-at-Risk (VaR) calculations seriously underestimate true market risk. In an attempt to address the shortcomings of the current VaR methodology, the Basel II Committee on Banking Supervision approved a package of amendments on July 9, 2009 that includes a new requirement for stressed VaR calculations, to be implemented no later than 12/31/2010.

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