  The banking systems that deal with risk management depend on underlying risk
measures. Following the Basel II accord, there are two separate methods by
which banks may determine their capital requirement. The Value at Risk measure
plays an important role in computing the capital for both approaches. In this
paper we analyze the errors produced by using this measure. We discuss other
measures, demonstrating their strengths and shortcomings. We give examples,
showing the need for the information from multiple risk measures in order to
determine a bank's loss distribution. We conclude by suggesting a regulatory
requirement of multiple risk measures being reported by banks, giving specific
recommendations.
