A new VAR terminology

In the first of a four-part series, David Rowe considers the development of financial risk management over the past 25 years and offers some thoughts about its future direction

I can quite reasonably claim to have entered financial risk management at its creation, having made a major career change from macroeconomic forecasting to quantitative financial risk management at the end of 1986. Basel I had been floated and was being actively discussed, while interest rate and foreign exchange derivatives volumes were growing rapidly. Perhaps most importantly, a series of large, public and highly embarrassing losses were about to emerge and to continue intermittently for the