UBS removes US mortgages from VaR
"Value at risk is neither an adequate measure of the risks in such illiquid positions nor an appropriate risk control tool," UBS said in its first-quarter report. As a result, 10-day 99%-confidence VaR fell from SFr665 million to SFr306 million, the bank said, and actual losses exceeded VaR on 11 days in the quarter.
Alexander Campbell
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