Barcap increases commodities appetite
Investment bank Barclays Capital has sharply increased its appetite for risk-taking in the first half of 2007, with all the new risk being taken in the commodities segment, according to Barcap reports.
Gross value-at-risk (VaR) increased from an average of £67.5 million per day in 2006 to an average of £74 million in H1 2007, a rise of 9.6%. Net VaR after diversification effects rose by around 6% from £37.1 million to £39.3 million.
“Increasing portfolio diversification has therefore been crucial to holding down the overall estimated VaR within the proprietary trading business,” says John Kemp
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