Improvvisamente scoprono che il metodo per calcolare i rischi legati ai derivati non erano efficaci....
To test the effectiveness of their VaR measurement systems, trading institutions track the number of times that
daily losses exceed VaR estimates. Under the Market Risk Rule that establishes regulatory capital requirements
for U.S. commercial banks with significant trading activities, a bank’s capital requirement for market risk is
based on its VaR measured at a 99% confidence level and assuming a 10-day holding period. Banks back-test
their VaR measure by comparing the actual daily profit or loss to the VaR measure. The results of the back-test
determine the size of the multiplier applied to the VaR measure in the risk-based capital calculation. The
multiplier adds a safety factor to the capital requirements. An “exception” occurs when a dealer has a daily loss
in excess of its VaR measure. Call Reports do not include a line item for the number of “exceptions.” Some
banks, however, make such disclosures in their published financial reports. Because of the unusually high
market volatility and large write-downs in CDOs in the third and fourth quarters, as well as poor market
liquidity, a number of banks experienced back-test exceptions and therefore an increase in their capital
multiplier.
Concentrations in highly rated but illiquid ABS CDOs, as well as non-normal market conditions, caused several
large dealer institutions (both bank and non-bank) to incur very significant trading losses in the fourth quarter.
Historically, these ABS CDOs had not exhibited significant price variability given their “super senior” position in
the capital structure, so measured risk in VaR models was very low. However, rapidly increasing default and
loss estimates for subprime mortgages have caused an abrupt and significant reassessment of potential losses
in these super senior ABS CDOs. Because VaR models rely on historical price movements and assume normal
market conditions, this particular risk measurement tool may not fully capture the effect of severe market
dislocations. As such, the OCC advocates the use of complementary risk measurement tools such as stress
testing and scenario analysis.
