The risk of value-at-risk

p46-gurney-jpg

2007 was bad; 2008 was worse. The second year of the financial crisis saw the contagion spread from the credit market and banking system to the global economy, plunging it into what may yet be the deepest downturn since the Great Depression of the 1930s.

Risk's survey of reported value-at-risk figures at major banks in 2008 reflects this upheaval. Almost every category of VAR saw massive increases at most banks over the course of 2008, with the rises sharpest in the last quarter of the year as

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: