Asia Risk - 2009-04-01

Contract counterattack

Efforts to recover the value of nearly 200,000 derivatives transactions conducted with Lehman Brothers have been frustrated by a provision of the International Swaps and Derivatives Association master agreement. But the bankrupt estate is fighting back

Error of VAR by overlapping intervals

When overlapping intervals in time series are used, volatility and price changes' percentiles are underestimated. Consequently, value-at-risk is also underestimated. Heng Sun, Izzy Nelken, Guowen Han and Jiping Guo measure the size of this underestimation

Challenging times for VAR

With the release of three new consultation papers in January, the Basel Committee has come up with its most ambitious plans yet for tackling the challenges presented by the financial crisis. But its proposal to overhaul VAR models is coming in for some…