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Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.

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VAR off

European banks tend to agree on the value-at-risk of equity and interest rate portfolios, while differing most on foreign exchange, commodities and credit trades. The European Banking Authority’s latest supervisory benchmarking exercise, which assessed the market risk models of 50 lenders, showed the interquartile distribution of VAR outputs for equity portfolios on average was 14%, and for interest rates it was 16%.

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