4 ms·
The bit about VaR is inaccurate. VaR is not a measure of leverage, it's supposed to be the amount of money an institution may lose over n days with an x% probab
by yangyang 17y ago
The bit about VaR is inaccurate. VaR is not a measure of leverage, it's supposed to be the amount of money an institution may lose over n days with an x% probability.
The increase in VaR could have come from changes in vol, the yield curve, stock prices, etc. etc., not necessarily larger positions.