We argue that most current methodologies for value-at-risk (VaR) underestimate the VaR, and are therefore ill-suited for market risk capital. Better VaR methods are available, such as the tail-fitting method proposed here. However, financial institutions may be relctant to use those mehtods...

It is our view that the Basel Committee of Banking Supervision, in its Basel II proposals, has failed to address many of the key deficiencies of the global financial regulatory system and even created the potential for new sources of instability. This document highlights our concerns that the...

This paper considers the properties of risk measures, primarily Value-at Risk (VaR), from both internal and external (regulatory) points of view. It is argued that since market data is endogenous to market behavior, statistical analysis made in times of stability does not provide much guidance...