Risk Quantum

Data insights, delivered daily


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.

More information

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%.

Read the full article

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: