Good comments from Pablo Triana about the silliness of imputing much of anything useful from an increase in the value-at-risk measures at Goldman Sachs.
So what should we read from Goldman’s currently high VaR figures? Not much. VaR naturally increases following a period of broad unrest, because the model’s inputs reflect more of that turbulence and less of the prior tranquility. So a pumped-up VaR doesn’t automatically point to wild-eyed gambling. The opposite could even be true—Goldman could be trying to trim risk while its VaR rises.
More here.
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