Industry Insights


VaR and Pricing Models: Impact of the Covid-19 Financial Crisis


Taking a strategic review of VaR models uncovers shortcomings in market risk modelling approaches, stress testing, FO integration, and Market Risk systems and processes.

During the Covid-19 crisis, it was found that the model parameters, such as the number of simulations adjusted to suit front office needs for faster computations, were unsuitable for handling market volatility conditions which resulted in model failures for exotic products.

In this insights article, we look at how the Covid-19 financial crisis impacted VaR and Pricing Models, the tactical measured adopted to manage the impacted VaR models, and strategic changes in the model risk management framework of VaR and pricing models.

If you want to discover how to manage your models and associated risks and create readiness for crisis situations, schedule a consultation today!

and get your article