In addition to its inclusion in the Basle Committee on Banking Supervision’s
guidelines for market risk capital adequacy,1 a number of other official bodies and
industry groups have recognised VaR as an important market-risk measurement
tool. For example, the ‘Fisher Report’ (Euro-currency Standing Committee 1994)
issued by the Bank for International Settlements in September 1994 made
recommendations concerning the disclosure of market risk by financial
intermediaries and advocated the disclosure of VaR numbers in financial
institutions’ published annual reports. Moreover, private-sector organisations such
as the Group of Thirty (1993) (an international group of bankers and other
derivatives market participants) have recommended the use of VaR methodologies
when setting out best-practice risk-management standards for financial institutions.