VaR Enough?

Risk analysts and managers are criticizing overdependence on Value at Risk models.

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When an investment bank that is supposed to know better loses billions of dollars betting on subprime mortgages, you have to wonder what happened to the concept of risk management. The people in control at UBS certainly did.

In April, after taking $37 billion in subprime-related write-downs and shutting down its Dillon Read Capital Management hedge fund division, the big Swiss bank released a soul-searching postmortem.

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