And so I was reading this news: http://www.bloomberg.com/news/2013-...ssed-jpmorgan-var-change-in-senate-probe.html
The snippet of this news to note is ... "Workers inadvertently used the sum of two numbers instead of the average in calculating VaR, which represents the maximum amount that traders would expect to lose on 95 out of 100 trading days."
So could it be that there may be too many (*hypothetically*) too many long positions and by summing up the numbers they increased the mean and decreased their coverage to the downside exposure?
The snippet of this news to note is ... "Workers inadvertently used the sum of two numbers instead of the average in calculating VaR, which represents the maximum amount that traders would expect to lose on 95 out of 100 trading days."
So could it be that there may be too many (*hypothetically*) too many long positions and by summing up the numbers they increased the mean and decreased their coverage to the downside exposure?
