The central role of Value-at-Risk (VaR) within bank market risk regulation received significant criticism from financial media and government investigations into the events of the 2007–2009 financial crisis. Impending reform of bank market risk regulation under the Fundamental Review of the Trading Book (FRTB) demotes VaR, replacing it with a layered framework centred on expected shortfall (ES). However, many of these criticisms assume full integration of internal and regulatory market risk models and further, a linear relationship between risk models and regulatory capital. We examine bank practitioners’ perspectives and experienced realities to better understand the operational relationship between internal and regulatory market risk models, and between risk models and capital. This has important policy implications for the efficacy of the reforms to banking regulation, financial stability and navigating the dichotomy of private and public interests.

风险价值（VaR）在银行市场风险监管中的核心作用受到金融媒体和政府对 2007-2009 年金融危机事件调查的强烈批评。交易账簿基本审查 (FRTB) 下即将进行的银行市场风险监管改革将 VaR 降级，取而代之的是以预期缺口 (ES) 为中心的分层框架。然而，这些批评中的许多都假设内部和监管市场风险模型完全整合，并且进一步假设风险模型和监管资本之间存在线性关系。我们审视银行从业人员的观点和经验，以更好地了解内部风险模型与监管市场风险模型之间以及风险模型与资本之间的操作关系。