During Trump turbulence, value-at-risk may go pop
Trading risk models have been trained in quiet markets, and volatility is now looming
A smooth sea never made a skilled sailor. Franklin D. Roosevelt’s wisdom that adversity forms character could also apply to the models that Europe’s banks use for assessing their trading exposures.
Trained on the calm waves of last year’s markets, today’s market risk models may be unprepared for the potential storm to come during Donald Trump’s second term as US president, bankers fear. The expected surge in volatility could affect a range of asset classes, from equities and rates, through
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