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