The risk of value-at-risk


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

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