VaR

  • The illusion of science!

    Banks

    Fed Kicks Off Awkward Week For Banks

    One of the nice things about last year’s Fed bank stress tests was that they were released, and everyone was like “OMG Citi failed!!,” and then we all calmed down and realized that all that meant was that Citi’s capital return plans had failed, so it couldn’t launch a big share buyback, but it wasn’t […]

    / Mar 7, 2013 at 6:20 PM
  • Figure 5, first panel. Y axis is ratio of trading RWAs to total trading assets: lower numbers suggest umm more aggressive RWA practices, *maybe*. X axis is "a crude proxy for reliance on internal models for calculating mRWA," as opposed to using standardized approaches. Higher numbers = more use of internal models.

    News

    Banks’ Risk Measurements Rarely Off By Much More Than A Factor Of Ten

    Banks are opaque, or so I hear, and so the only way many people can stand to be around them is if they can have some sort of number to serve as a flashlight into all that opacity. One of the big numbers is Basel III risk-weighted assets, which are intended to, as the name […]

    / Jan 31, 2013 at 10:24 AM
  • Just hanging out here with some VaR

    Banks, News

    Morgan Stanley Now 23% Safer

    A value-at-risk model basically works like this. You have some stuff, which is worth X today. Tomorrow it will be worth X + Y, where Y ranges from more or less negative infinity to positive infinity. Y is a function of a bunch of correlated random variables, rates and credit and stock prices and general […]

    / Oct 18, 2012 at 1:15 PM
  • earnings, News

    Toy Chart of the Day: GS and MS Trading Revenues and Risk

    Strong earnings from Morgan Stanley today, with a top-line beat and lots of positive commentary on the call about converting their Mitsubishi preferred shares and gaining recognition in trading businesses, have MS up almost 10% so far today. Every story about MS earnings seems to be a story about how they’re doing versus Goldman Sachs, […]

    / Jul 21, 2011 at 12:53 PM

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