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 inverse correlation of assets and the USD has partly broken down. A higher USD is changing the tenor of the market. Will the Fed really raise rates in December? The U.S. election is an event risk.

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 ...

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.

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.

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...