Model change cuts Barclays’ VAR 21% in H1

Reducing historical lookback period from two years to one shaves £5m off bank’s average VAR

Barclays’ average management value-at-risk dropped 21% to £22 million ($30.5 million) in the first half of the year, largely due to a methodology tweak to its VAR model.

The bank’s decision to change the historical lookback period from two years to one yielded a £5 million reduction to its average VAR. The remainder of the reduction was due to Barclays taking smaller risks in the market over the period.

  //

 

Interest rate risk and basis risk VAR fell £3 million each, to £8 million and £7