VAR breakdown

Value-at-risk at the world's largest financial institutions rose modestly last year in a relatively benign market environment. But some parties are worried about the low number of reported VAR back-test exceptions. By Christopher Jeffery, with research by Xiao-Long Chen

Average value-at-risk at the world's leading financial institutions rose by just 1.2% last year in dollar terms to an average of $51.9 million using a one-day holding period at the 99% confidence level for our sample of 25 dealers (see table A). Year-end VAR levels, meanwhile, rose by an average 8.7% to $51.6 million (see table B).

The modest gains occurred in an environment of positive investor