Financial Times FT.com

Volatility wrecks financial world's value at risk models

By Gillian Tett

Published: October 12 2007 03:00 | Last updated: October 12 2007 03:00

Seven months ago, the Bank of England issued a strikingly prescient warning about "value at risk" (VAR) models.

While these models have become endemic in the financial world in recent years, they have a nasty habit of being self-reinforcing, or so the Bank observes.

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