Investopedia

What Does Value at Risk (VaR) Say About the "Tail" of the Loss Distribution?

Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. The value at risk (VaR) is a statistical ...
Risk

VAR model update cuts NatWest’s market RWAs by 26%

Following regulatory green light, a value-at-risk model update triggered a fall in NatWest’s market risk-weighted assets (RWAs), from £10.9 billion ($15 billion) to £8 billion in Q3. In June, NatWest ...
Nasdaq

ICE Announces Planned Launch of Phase One of ICE Risk Model 2.0, a VaR-Based Portfolio Margining Methodology

CHICAGO & NEW YORK--(BUSINESS WIRE)-- Intercontinental Exchange, Inc. (NYSE:ICE), a leading global provider of data, technology, and market infrastructure, today announced the first phase of its ...