VAR survey - VAR counts - Rising defaults in the US subprime mortgage market, plunging prices in the credit sector and a sharp squeeze in liquidity all contributed to make the third quarter very difficult for banks. Risk compares the value-at-risk figures of the major banks in the wake of the turbulence in the financial markets.
Year of publication: |
2008
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Authors: | Campbell, Alexander ; Chen, Xiao-Long |
Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 21.2008, 1, p. 68-73
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