EU’s model study finds problems with bank VAR methods
Banks surveyed by the ECB had an average of 32 issues with their market risk models
Investigations into the market risk modelling practices of eurozone lenders by the European Central Bank have illuminated flaws with a number of firms’ value-at-risk calculation methodologies.
The ECB issued a second update on its multi-year targeted review of internal models (Trim) in April, which was published in the central bank's May newsletter.
The regulator found an average of 32 issues
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