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 ...

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 ...

LCH EquityClear SA has gone live with its new Value at Risk (VaR) margin framework for cash equities. The new methodology has been applied across all unsettled cash equity positions on EquityClear SA ...

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 ...

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.

Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Michael Boyle is an experienced financial ...

We carry out an ex post assessment of popular models used to forecast oil prices and propose a host of alternative VAR models based on traditional global macroeconomic and oil market aggregates. While ...