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 ...

The AI-VaR framework seeks to fill this gap by offering a structured way to quantify risk in monetary terms, making it easier ...

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.

Advanced Micro Devices, Inc. is rated Hold due to an unfavorable risk/reward profile at current valuation, despite strength ...

LONDON, May 11 (IFR) - The implementation of a new Value-at-Risk model looks to have masked a US$2bn mark-to-market loss that built up in JP Morgan's chief investment office over the past few months.

This is a preview. Log in through your library . Abstract The issue of including stationary explanatory variables is addressed in the vector autoregressive (VAR) model, when testing for cointegration ...

A representative household model with liquidity services directly in the utility function is used to derive a stable, data congruent error correction model of broad ...