Risky liquidations

Oil

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Joe Risk Manager faces a dilemma. The board of directors at the company he currently works for has just asked whether a value-at-risk (VAR) number that has been reported represents the value that could be lost if trading operations were shut down. Joe’s response is that it does not, as the reported value at risk is based on a one-day time horizon. As at least some of the positions the company holds are at illiquid pricing points, realistically it would take more than one day to

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The new rules of market risk management

Amid 2020’s Covid-19-related market turmoil – with volatility and value-at-risk (VAR) measures soaring – some of the world’s largest investment banks took advantage of the extraordinary conditions to notch up record trading revenues. In a recent Risk.net…

ETF strategies to manage market volatility

Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…

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