Dealers’ VAR increases in 2001

Average value-at-risk levels among leading derivatives dealers have increased over 2001, but despite increased volatility across equity and rates markets post-September 11, large trading losses appear to have been avoided, according to the Bank of England’s Financial Stability Review published last month.

For several dealers, market risk in trading activities, as measured by average VAR as a proportion of shareholders’ funds, was higher in the first half of 2001 compared with 2000. Goldman

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