the Research Task Force on the interaction of market and credit risk (see Basel Committee on Banking Supervision (2009a …-at-riskʺ (VaR) should be interpreted henceforth in a broad sense as encompassing other common risk metrics, with the exception of … Section 3 in which risk metrics are compared directly. …

The Basel Committee proposes to supplement the current value-at-risk (VaR) regulatory capital framework for trading … exposures with an incremental risk capital charge (IRC). Since the financial market crisis that began in mid-2007, a number of … consultative document Revision to the Basel II market risk framework for more details regarding the proposed changes to the trading …