VAR restrictions ‘will hit returns’ for sophisticated traders

VAR cap can be even more constraining than a short-selling ban, researchers find

dollar lock - Getty.jpg

Restricting value-at-risk curbs traders’ returns in both rising and falling markets, with a particularly sharp impact in volatile markets, researchers have found. And, in volatile markets, the impact for traders with access to high-value information is potentially worse than imposing a short-selling ban.

“A manager with the capacity of obtaining higher-quality information, such as sophisticated investors (big banks and financial institutions with good forecasting and risk management departments

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 copy this content. Please contact [email protected] to find out more.

To continue reading...

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: