A VAR, VAR better thing?

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The credit crisis of late 2007 was largely a failure of risk management. As losses mounted, bank after bank admitted their risk models had been unable to predict the likelihood, speed or severity of the crisis. Attention turned in particular to the use of value-at-risk as a measure of the risk involved in a portfolio.

As reported in Risk's VAR survey (Risk January 2008, pages 68-71), several banks reported multiple VAR exceptions - in which daily trading losses exceed the limit predicted at the

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The new rules of market risk management

Amid 2020’s Covid-19-related market turmoil – with volatility and value-at-risk (VAR) measures soaring – some of the world’s largest investment banks took advantage of the extraordinary conditions to notch up record trading revenues. In a recent Risk.net…

ETF strategies to manage market volatility

Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…

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