American Banker

JPMorgan Changes VaR Model Again, But It's Still a Black Box

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 TRADE

LCH RepoClear and Euronext Clearing go live with new VaR model

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 ...
Bloomberg L.P.

Predicting Value-at-Risk in times of financial crisis

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.
Reuters

Value-at-Risk model masked JP Morgan $2 bln loss

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.
Harvard Business School

Strategic Asset Allocation in a Continuous-time VAR Model

Campbell, John Y., George Chacko, Jorge Rodriguez, and Luis M. Viceira. "Strategic Asset Allocation in a Continuous-time VAR Model." Journal of Economic Dynamics & Control 28, no. 11 (October 2004): ...