First, comparing the changes in the model over time is impossible, as JPMorgan did not restate figures from earlier periods using the new VaR model. Some will rightly point out that the impact of the ...

The impact of the new VaR model based on Jan. 18 data will be a reduction of CIO VaR by 44% to $57mm. The response from Dimon and Hogan was the minimum required: “I approve”.

More striking still is the preponderance of RWAs that cannot be classified under any of Basel 2.5’s four building blocks.

The Premier League believes its referees are setting a model for VAR that other leagues want to follow as the latest stats showed video review errors are down 35% on last season. After 23 rounds ...

VaR modeling determines the potential for loss in the entity being assessed and the probability of occurrence for the defined loss. One measures VaR by assessing the amount of potential loss, ...

JPMorgan Chase & Co., whose trading loss of more than $6.2 billion was fueled by the adoption of a flawed mathematical formula that understated the risks, is trying yet another one.

When reality didn’t match the bank’s formulas, JPMorgan readopted its old model – which promptly tripled the end-of-quarter VaR to $186 million, according to its first quarter SEC filing. Suggesting ...

VAR modeling suggests that personal consumption expenditures will also increase after a 10% rise in the 10-year yield, but only by a slim 0.15%.

The Premier League believes its referees are setting a model for VAR that other leagues want to follow as the latest stats showed video review errors are down 35% on last season.. After 23 rounds ...