Calmer markets reflected in VAR figures
Lower volatility across asset classes in the second quarter of the year produced lower value-at-risk figures at almost all major banks, according to a Risk survey.
Available figures for major bank VAR over the second quarter of 2009 show an average fall of 9.8% in overall VAR. This result was carried on over most asset classes: interest rate VAR, the largest single category, fell by an average of
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