Goldman´s daily trading VaR rose to $139 million in the third quarter

Discussion in 'Wall St. News' started by ASusilovic, Oct 8, 2007.

  1. http://www.bloomberg.com/apps/news?pid=20601087&sid=aHlubJwmBR6I&refer=home

    [...] Trading Risks

    Like hedge funds, Goldman uses its capital to take bigger trading risks than rivals. The firm's so-called value at risk, a measure of how much the bank estimates it could lose from trading in a single day, rose to $139 million in the third quarter, up 51 percent from a year earlier to the highest ever, according to company reports. The increase was most pronounced in interest rate-related risk, which almost doubled to account for about 40 percent of the total.

    On a similar basis, New York-based Morgan Stanley, the second-biggest U.S. securities firm by market value, said its trading VaR was $87 million in the quarter, up 55 percent from a year earlier. Lehman, the fourth-biggest firm, said VaR was $96 million, citing ``a combination of higher levels across a range of products for the period and a higher level of risk associated with an increase in fixed-income related assets.'' [...]

    That´s based on assumption of 99 % Confidence Interval over a 1-day period

    Read more : "The impact of IFRS on European Banks"

    http://www.ey.com/Global/Assets.nsf...s/$file/EY_Impact_IFRS_Euro Banks_Oct2006.pdf
     
  2. Do you think they are too conservative? VaR is too small imo.
     
  3. dont

    dont

    Is 99% confidence also based on a 7% move will happen once every 1000 years :D
     
  4. If they think 7% movement happens only once every 100 years, there is something wrong with their basic statistics.