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
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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk management
Public enemy number one: the threat to information security
Nearly half of domestic and regional banks report risk appetite breaches amid heightened sense of insecurity
Credit risk transfer, with a derivatives twist
Dealers angle to revive market that enables them to offload counterparty exposures, freeing up capital
Op Risk Benchmarking 2024: the banks
As threats grow and regulators bore down, focus shifts to the first line
Fed stress-testing operational readiness of discount window
Experts say consultation on improved ops should be accompanied by focus on willingness to borrow
Millennium risk manager defends leverage in basis trade
“Gross notional measures don’t equate to market risk,” says Scott Rofey
Banks feel regulatory heat on op resilience
Op Risk Benchmarking: supervisors dial up reporting expectations and on-site inspections
BofA’s rates revamp leans into multi-strategy boom
New rates head Laura Chepucavage prioritises collateral efficiency, e-trading and central risk book for enlarged rates, futures and financing unit
Revolutionising credit surveillance: part two
Does GenAI live up to the hype? How prioritising AI and digitisation projects reveals data as the power behind AI initiatives
