Challenging times for VAR

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Few dispute that the Basel II framework has flaws, which have been starkly exposed by the financial crisis. The losses sustained by banks on structured credit exposures far outweighed anything their value-at-risk models suggested they could lose. By building requirements for VAR measures into Basel II, regulators were arguably responsible for institutionalising and giving an official stamp of approval to the use of such imperfect models. Other weaknesses have also become apparent: the lack of

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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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