Riskdata starts daily publication of VaR indicators

With market volatility at an all time high, Riskdata, the developer of risk management solutions, has started daily publication of Value-at-Risk (VaR) indicators to provide objective quantitative information on the volatility and potential moves of global markets during the ongoing crisis.

The analysis covers major world-wide equities, Government bond yields and spreads, commodities, currencies, and implied volatilities across asset classes.

Riskdata is also calculating Shock VaR to indicate the possible over- or under-estimate of risk during the market crises and detect signals of where markets are heading.

According to Riskdata CEO Ingmar Adlerberg, ShockVaR is more reactive than long-term VaR and can increase by a factor of two within a few days following a shock or anticipating a shock. It similarly rapidly falls back to its initial value if the market volatility returns to long-term levels.

Both the VaR and Shock VaR calculations are being made available free on the Riskdata's website at www.riskdata.com/resources/market.html

Shock VaR data (as of October 15) shows that the most risky equity market is Russia followed by the UK, Europe and France. When comparing Shock VaR (current market risk) and long-term VaR (historical risk), the Russian market is almost twice as risky as the US market in absolute terms (22.8% vs 14.3% respectively at VaR 99.9), but they are both currently at about two times the level of their historical risk (243% and 242%, respectively).

The Indian and Chinese markets show a lesser degree of risk relative to other indexes in the current environment and, in fact, are at levels very close to historical risks (142% and 126%, respectively), according to Riskdata.

"We believe that VaR and Shock VaR statistics are giving market players valuable insight into changing risks of markets," said Adblerberg.

"Transparency and analytical rigor is the best way to counter the ongoing market crisis and we will continue providing this information as long as the market turbulence persists."

Melanie Rodier has worked as a print and broadcast journalist for over 10 years, covering business and finance, general news, and film trade news. Prior to joining Wall Street & Technology in April 2007, Melanie lived in Paris, where she worked for the International Herald ... View Full Bio