Standard risk measures low-balled Archegos exposures
When a potential blow-up doesn’t show up, what use are VAR, SA-CCR and stress tests?
Numbers often don’t tell the full story. Just ask the bank board members who approved exposures relating to Archegos Capital Management in the months before the family office imploded, leaving a $10 billion trail of losses for its counterparties.
The failure of board-level committees to spot the risks brewing in the highly leveraged investment firm have called into question the effectiveness of traditional stats such as risk-weighted assets (RWAs) or value-at-risk in providing red flags for
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