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Value at risk: time for more rigour – FT.com

Value at risk: time for more rigourThat whooshing noise in the background is the sound of received wisdom crashing to the ground. One of the consequences of last week’s admission by JPMorgan that it had lost $2bn on credit derivatives trading is that it may spell the end of the notion of “value at risk”. VaR is already being given the once-over by the Basel Committee on Banking Supervision because of its inherent limitations as a way of measuring risk. That project has now become more urgent. Currently, VaR is essentially anything a banker thinks it is. It is time for a bit more rigour.

via Value at risk: time for more rigour – FT.com.

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