Experts find holes in funds’ argument for higher US VAR caps

Noah Zuss
@NZ32
19 May 2020

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

An influential body representing regulated funds has urged the US Securities and Exchange Commission to raise its proposed value-at-risk limits, citing in part the market volatility caused by Covid-19. But a number of risk experts, including a former SEC regulator, are unconvinced by the industry’s arguments.

Last November, the SEC laid out a plan for introducing VAR-based leverage limits on funds that use derivatives. The VAR of a fund’s entire portfolio would be capped at 150% of the VAR of

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]