Falling VAR reflects calmer year and warier bankers
Banks have seen value-at-risk figures fall over 2010, but risk measure may be on the way out
Value-at-risk figures for banks around the world fell again in the second half of 2010, with a significant overall drop over the course of the year reflecting the generally calmer market – as well as a more cautious approach to market risk.
A Risk survey found a 26.2% drop in average VAR over the course of last year across 12 major banks that have reported 2010 results. Part of this can be traced to generally calmer markets: a suite of commonly used market risk indicators all showed drops over
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