Tuesday, April 1, 2014

VaR implementations in banks

We have several text books those explains what is VaR and different approaches to calculate this. I have not come across something which describe how it actually implemented in banks.
There are several layers in which this whole methodology gets implemented in banks.
Each banks has CRO/ risk division and this division is responsible for calculating , reporting and maintaining risk numbers for the banks.

Crisis of 2008 has opened up lots of debate on risk management. Each bank has invested lot of money and investing in risk functions. Regulators have come down heavily on banks with tighter capital control and more regulations. I will write series of post that will explain how CRO/Risk division works in banks.


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