A VaR model for managing market risk at Barings Bank in London would most likely...

PRMIA 8004 Question Answer

A VaR model for managing market risk at Barings Bank in London would most likely have:

Alerted senior management to the problems before the major losses occurred

Helped very little as Nick Leeson hid many trades

Not correctly assessed the risk in Nick Leeson's option trades as they have non-linear price characteristics

Been used if senior management had ever seen it

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