In cerca di un miglioramento
Le banche hanno registrato un'impennata del numero di perdite superiori al VAR (eccezioni) nel corso del terzo trimestre dello scorso anno a seguito delle forti turbolenze che hanno scosso i mercati finanziari. Gli attuali modelli di rischio sono inadeguati? In che modo le banche stanno affinando modelli e tecniche di gestione del rischio? Alexander Campbell
La crisi del credito degli ultimi mesi del 2007 è stata in massima parte un fallimento del risk management. Con l'aumentare delle perdite, una dopo l'altra le banche hanno dovuto ammettere che i loro modelli di rischio non avevano saputo prevedere la probabilità, la rapidità e la gravità della crisi. L'attenzione si è focalizzata in particolare sull'utilizzo del VAR (value-at-risk) come misura del rischio di portafoglio.
Come rilevato nella nostra indagine sul VAR (Risk gennaio 2008, pp. 68-71)1
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