BNP Paribas and Deutsche Bank recorded two value-at-risk backtesting exceptions each in April, joining a growing list of global peers whose models were caught out by volatile markets following US ...
Barclays incurred five value-at-risk backtesting exceptions in the second quarter, triggering a downgrade of its regulatory VAR model for the first time since Q2 2018. The UK bank overshot its VAR ...
Consider a credit portfolio that consists of default-sensitive instru¬ments such as lines of credit, corporate bonds, and government bonds. The corresponding credit value-at-risk (VaR), is the minimum ...
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