CERF Blog

After the market close last Thursday, JP Morgan Chase (JPM) announced that it had incurred a large loss in a “hedge” position.  The loss is rumored to be approximately $2.3 billion.  If it was truly a hedge position then there presumably is a gain on the item being hedged.  I did not see any mention… Read more

“Value at Risk is like an air bag that works well all the time except when you have an accident” David Einhorn Value at Risk (VaR) is a well-accepted measure of market risk.  It is defined as the minimum loss that could be expected to occur over a specified (short) horizon with a specified (low)… Read more