VAR models at odds on forex, commodities, credit risks – EBA
Interquartile distribution of VAR outputs highest for small banks, watchdog finds
European banks tend to agree on the value-at-risk of equity and interest rate portfolios, while differing most on foreign exchange, commodities and credit trades.
The European Banking Authority’s latest supervisory benchmarking exercise (SVB), which assessed the market risk models of 50 lenders, showed the interquartile distribution (IQD) of VAR outputs for equity portfolios on average was 14%, and for interest rates it was 16%.
In contrast, the IQD of VAR measures for forex, commodities
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