Discuss how this will change the reporting of risks

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Reference no: EM131478353

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.

Reference no: EM131478353

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