VAR drops in Q2 despite sovereign risk fears
Most large banks had less exposure to market risk during the second quarter, despite volatile conditions in many asset classes.
The European sovereign risk crisis sent market volatility up sharply in the second quarter of the year, but banks around the world nevertheless managed to cut their trading exposure, according to research by Risk.
Value-at-risk figures for the second quarter of 2010 fell across all asset classes, with average overall VAR for the second quarter 12% lower than the first quarter.
This was despite volatility indexes rising significantly. The Chicago Board Option Exchange's Vix index of equity price
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