Associations send repo VAR protest to Basel Committee

The procedure for modelling repo counterparty VAR is found in paragraph 144 of the technical guidance, published alongside the third Quantitative Impact Study (QIS3) in October 2002. The paragraph calls for the back testing of VAR models using the most recent 250 daily observations. “Depending on the number of exceptions exceeding the ninety-ninth percentile confidence level, the output of the VAR model will be scaled up using a multiplier” that is provided in an accompanying table. And that’s

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The new rules of market risk management

Amid 2020’s Covid-19-related market turmoil – with volatility and value-at-risk (VAR) measures soaring – some of the world’s largest investment banks took advantage of the extraordinary conditions to notch up record trading revenues. In a recent Risk.net…

ETF strategies to manage market volatility

Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…

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