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Regulations on risk management

Image of a computer generated report on Value-at-Risk (VaR) forecasts
The VaR forecast plotted against actual returns; the violations show where the asset performs worse than the predicted worse case scenario

Researchers in the institute investigated the information content in the Value-at-Risk (VaR) forecasts reported by the Authorised Deposit Institutes (ADI) within Australia. The research was commissioned by the Australian Prudential Regulatory Authority (APRA) and required extensive computation for both information identification and extraction. The results have serious implications on risk management practice in Australia and its impacts are currently being reviewed by APRA.