Therefore, the immediate task is the task of supplementing VaR models other methodological approaches and methods for calculating risks. In addition, it was found that in many cases, stress tests or analyzes sensitivity scenarios do not reflect market prices. Joint disadvantage of using indicators and VaR models and stress tests were inadequate interpretation of the baseline risk between cash bonds and derivatives, such as credit default swaps for which these bonds were the underlying asset. For example, some banks have suggested that they could use low historical volatility for yield loans that rating agencies have assigned ratings Aaa. This assumption led to errors and significantly increased the exposure of institutions to the baseline risk.