VAR breakdown

Risk Management

Average value-at-risk at the world's leading financial institutions rose by just 1.2% last year in dollar terms to an average of $51.9 million using a one-day holding period at the 99% confidence level for our sample of 25 dealers (see table A). Year-end VAR levels, meanwhile, rose by an average 8.7% to $51.6 million (see table B).

The modest gains occurred in an environment of positive investor sentiment. Notably, equity markets performed strongly against a backdrop of strong corporate

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