VAR counts
Rising defaults in the US subprime mortgage market, plunging prices in the credit sector and a sharp squeeze in liquidity all contributed to make the third quarter very difficult for banks. Risk compares the value-at-risk figures of the major banks in the wake of the turbulence in the financial markets. By Alexander Campbell, with research by Xiao-Long Chen
A turbulent quarter in the financial markets has put risk measurements under strain at major investment banks. In Risk's survey of value-at-risk measurements over the third quarter of last year, average VAR was significantly higher than in the second quarter - a rise of 4.6% in just three months (see table A).
The shortcomings of banks' risk management have been most obvious in the multi-billion
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