VAR exceptions rise in third quarter

Investment banks reported significantly higher numbers of value-at-risk exceptions in the third quarter of this year, highlighting the volatility in the financial markets and casting doubt on their risk modelling.

VAR exceptions reflect the days on which trading losses exceed the maximum loss expected at a certain probability level, either 95% or 99%. The VAR used for comparison was derived from the previous day's portfolio positions.

Lehman Brothers revealed three exceptions at 95%, while Goldman

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