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Look in VaR!

Published in Automated Trader Magazine Issue 19 Q4 2010

Sometimes, the old tools can be usefully applied in new ways. Here, Xavier Bellouard, co-founder of Quartet FS, argues for an IT-driven reappraisal of the value of VaR in forward-oriented risk modelling.

Xavier Bellouard

Xavier Bellouard

Let's just remind ourselves of where we are, shall we? The credit crisis has had huge ramifications worldwide. It's not just that the global economy simply cannot afford another failure on the scale of Lehman, but also, it's plainly clear that large banks and financial institutions cannot co

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