VAR counts - Risk.net

Alexander Campbell
01 Jan 2008

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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-dollar write-downs associated with losses on securities backed by US subprime mortgages. But the

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