Quando il poco stroppia
Il numero di scostamenti evidenziato dal backtesting delle principali istituzioni finanziarie mondiali sembra di gran lunga inferiore alle attese statistiche. Errore dei modelli VAR o inadeguatezza degli standard di vigilanza?
Sviluppati nel 1994 dalla divisione rischio di JP Morgan, i modelli value-at-risk (VAR) si sono rapidamente affermati fra le istituzioni finanziarie internazionali quale metodologia di riferimento per la misurazione e il monitoraggio del rischio di mercato sulle posizioni di trading. I responsabili della vigilanza ne hanno rapidamente compreso i vantaggi e il Comitato di Basilea li ha formalmente inclusi quale elemento centrale del suo Emendamento dell'accordo sui requisiti patrimoniali per
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