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Tobias Voigt posted a blog post
FRTB: Replacing VaR with Expected Shortfall in market risk
Out with old risk metric, in with the new. Welcome to Expected Shortfall The Basel Committee on Banking Supervision has been revising its market risk framework since 2012.  The result of its ‘fundamental review of the trading book’ (FRTB , BCBS 219)…
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Oct 6, 2015

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