Latest VAR figures questioned

Increased market volatility led to a rise in last year’s value-at-risk figures reported by derivatives dealers in their most recent financial statements. The rise came mainly from an increase in interest rate VAR levels as banks attempted to exploit increased volatility in the fixed-income markets. But risk managers at dealers say the figures are dubious because there is no common method for compiling them.

Goldman Sachs saw one of the biggest increases in its daily average VAR figures

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