CMRA Calls For Industry Standards On VAR Disclosure Methodology
NEW YORK--Banks' VAR disclosures following new regulatory requirements will be confusing without detailed standardization, according to consultants from Capital Markets Risk Advisors (CMRA), the New York-based risk management consultancy house. CMRA has also released a survey that pinpoints model risk as the primary cause of 40 per cent of derivatives losses at financial institutions last year.
Leslie Rahl, co-founder of CMRA says that banks' VAR disclosures under new regulations are confusing at
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