ACI-Sponsored Report On VAR Examines Risk Impact Of Euro On Risk


LONDON--The ACI Foundation, the research arm of the ACI: The Financial Markets Association, has published its long-awaited report examining the impact of the single European currency on banks' risk management models.

The paper presents a comprehensive review of how financial institutions are adjusting their VAR models to handle the introduction of the euro, covering theoretic approaches and practical solutions.

Most banks use VAR models based on at least one year of historical data for

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