Comments on: Toothless Fed, Part 2 (Risk Management Shortcomings) http://www.nakedcapitalism.com/2007/03/toothless-fed-part-2.html Mon, 23 Nov 2009 10:17:20 -0500 http://wordpress.org/?v=2.8.4 hourly 1 By: Aamir Rasool Chaudhry http://www.nakedcapitalism.com/2007/03/toothless-fed-part-2.html#comment-46544 Aamir Rasool Chaudhry Wed, 06 May 2009 03:16:00 +0000 http://www.nakedcapitalism.com/2007/03/toothless-fed-part-2-risk-management-shortcomings/#comment-46544 Combat arms walls, aimbot, esp hack download link<br /><br />tgs public hack<br /><br />http://www.sendspace.com/file/brgygd Combat arms walls, aimbot, esp hack download link

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]]> By: Anonymous http://www.nakedcapitalism.com/2007/03/toothless-fed-part-2.html#comment-4753 Anonymous Wed, 05 Mar 2008 15:29:00 +0000 http://www.nakedcapitalism.com/2007/03/toothless-fed-part-2-risk-management-shortcomings/#comment-4753 Absolutely agree that the VAR is not sufficient, here is a nice example I saw on Bloomberg. <br/><br/>On Tuesday night, Bloomberg Television, the London-based financial channel, said that Merrill Lynch found that using the Value at Risk (VAR) model, required by the supervisors, had calculated its maximum exposure equal to $65 million.<br/><br/>Instead, it lost $8 billion. <br/><br/>Yesterday, the president of Merrill Lynch gave a lecture, saying that VAR is not able to calculate market risk exposure, and it is incapable of estimating credit risk.<br/><br/>This risk has been identified in this book from 2004 book Economic Capital Allocation (Chorafas). This book also gave advice on how to develop and use a better model than VAR. Absolutely agree that the VAR is not sufficient, here is a nice example I saw on Bloomberg.

On Tuesday night, Bloomberg Television, the London-based financial channel, said that Merrill Lynch found that using the Value at Risk (VAR) model, required by the supervisors, had calculated its maximum exposure equal to $65 million.

Instead, it lost $8 billion.

Yesterday, the president of Merrill Lynch gave a lecture, saying that VAR is not able to calculate market risk exposure, and it is incapable of estimating credit risk.

This risk has been identified in this book from 2004 book Economic Capital Allocation (Chorafas). This book also gave advice on how to develop and use a better model than VAR.

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