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Value at Risk Meets Volcker Rule
Company: Intelligent Risk
Year Of Publication: 2012
Month Of Publication: February
Pages: 25-29
Download Count: 16
View Count: 1040
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 1-31-2012
Publisher: Administrator
Summary
In this note I take a skeptical view of the requirement in the recent rule-making proposal by US financial regulators that banks use VaR for assessing compliance with the proprietary trading prohibition of the “Volcker Rule.” VaR is intended to measure risk, not to infer the intent behind the risk taken. One of the most persuasive criticisms of VaR arising from the financial crisis is that it was misapplied. The use of VaR in Volcker Rule compliance testing may be a further misapplication, one with consequences both costly and unintended.
(volume 2, number 1)
Author(s)
Schachter, Barry Sign in to follow this author
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