Morgan Stanley unruffled by VAR model update

Trading risk at Morgan Stanley has held steady in recent quarters, in spite of a recent change to its value-at-risk model.

Average VAR at the New-York based lender was $39 million in Q4, down $3 million (7%) from Q3 and $10 million (20%) on the same quarter a year ago.

On July 1, the bank changed its VAR model, altering the methodology used to produce its trading risk measure for Q3 and Q4. Morgan Stanley said its Q3 average VAR would have been $1 million higher under the previous model.

 

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: