Nasdaq exec criticises VAR models in erratic energy markets
FIA Boca 2023: Model being adopted by rivals is “bad choice” for unpredictable assets, says exchange tech official
A senior Nasdaq executive has questioned the use of value-at-risk margin models in “physically constrained” markets such as energy, calling the approach a poor choice, given the unpredictability of the assets.
“When you look at physically constrained markets like that, which are dislocated, VAR is a very bad choice for a model,” said Roland Chai, executive vice-president for marketplace technology at Nasdaq.
Chai was speaking on a panel at the Futures Industry Association’s 2023 conference in
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