The TRADE

LCH RepoClear and Euronext Clearing go live with new VaR model

The two clearinghouses’ new risk models will utilise an enhanced Value at Risk (VaR) methodology across the debt markets that they clear. LCH RepoClear and Euronext have concurrently launched Value at ...

Understanding Model Risk: Key Strategies and Case Studies

Learn about model risk, its causes, management strategies, and real-world examples from financial industry pitfalls. Unlock ...
Bloomberg L.P.

Predicting Value-at-Risk in times of financial crisis

Amidst the current market turmoil due to the COVID-19 pandemic, it is timely to examine the performance of different Value-at-Risk (VaR) models over the long-term and in previous times of crisis.
Reuters

Value-at-Risk model masked JP Morgan $2 bln loss

LONDON, May 11 (IFR) - The implementation of a new Value-at-Risk model looks to have masked a US$2bn mark-to-market loss that built up in JP Morgan's chief investment office over the past few months.
Nasdaq

ICE Announces Planned Launch of Phase One of ICE Risk Model 2.0, a VaR-Based Portfolio Margining Methodology

CHICAGO & NEW YORK--(BUSINESS WIRE)-- Intercontinental Exchange, Inc. (NYSE:ICE), a leading global provider of data, technology, and market infrastructure, today announced the first phase of its ...
Bloomberg L.P.

MAC3 Tail Risk Model Provides Improved Var Forecasting During Volatile Markets

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