Nomura switches to lower-confidence VAR model
Internal measure of potential market loss brings bank in line with the likes of JP Morgan and BofA
Nomura switched to a lower confidence level for its internal value-at-risk measure in the first quarter in an effort to better capture the potential loss due to adverse market movements.
Beginning March 31, the bank started disclosing one-day management VAR – a measure of the most the bank can lose from market moves on any given day – at a 95% confidence level, down from 99% in use previously.
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