A new VAR terminology


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

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