History repeats itself. (use of value-at-risk measure by banks)

Banker, The, March, 1996 by Talmor, Sharona

The value-at-risk (VAR) is a popular and established measure of bank risk. Advocates attest to its 97.5% certainty as it evaluates exposure and suggests the how and where to place money most efficiently and safely. The basis of resultant projections of VAR is a mixture of extrapolative information and historical data, especially of price. The formula is, however, not to be considered infallible.

A data base of price correlations can help predict the level of risk, writes Sharona Talmor

VAR, the value at risk of a bank, was the hot name in risk management in 1995. It is a method of measuring, with about 97.5% certainty, the exposure that a bank undertakes to various forms of market risk.

In the most abstract form the "formula" is applied to all the...

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