Tucked away in a footnote to the financial supplement to JPMorgan Chase's third-quarter earnings release was the revelation that it made yet another change to the value-at-risk model for its chief ...

Value at Risk (VaR) and J.P. Morgan have long been intertwined. The bank pioneered this risk model that purports to show how much money a bank stands to lose on any given day. Proponents argue VaR is ...

Losing $2 billion hurts. But JPMorgan Chase may ultimately suffer even greater pain due to the fact that it was blind to its exposure long after outsiders caught on. As its Chief Executive, James ...

Following regulatory green light, a value-at-risk model update triggered a fall in NatWest’s market risk-weighted assets (RWAs), from £10.9 billion ($15 billion) to £8 billion in Q3. In June, NatWest ...

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 ...

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.

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.

Learn about model risk, its causes, management strategies, and real-world examples from financial industry pitfalls. Unlock insights to reduce risk and enhance decision-making.

Most VARs know they need to modernize to earn - and retain - today's customers, but where do you start? Acumatica's Geoff Ashley shares tips from the modern VAR playbook. In The modern VAR - it's time ...