Revisions to the Basel II market risk framework - updated as of 31 December 2010
By Bank for International Settlements (BIS)
Basel 2.5 was developed as a direct response to the massive losses and excessive leverage accumulated in bank trading books during the global financial crisis. The Committee realized that the previous Value-at-Risk (VaR) framework failed to capture "tail risks" and credit migration risks. To address this, the standard introduces the Stressed Value-at-Risk (sVaR) requirement.
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