Canada's Longworth faults VaR
Methodologies based on Value at Risk (VaR) that are too dependent on short historical samples cause procyclicality, said David Longworth, a deputy governor of the Bank of Canada.
Longworth said that VaR for the trading book should be calculated on a through-the-cycle basis and that all historical data should be exploited to calculate the distribution of possible losses for a given asset or asset class. He also said that a "stress VaR" calculated on the basis of assumed stress conditions should be
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