Barcap increases commodities appetite
Gross value-at-risk (VaR) increased from an average of £67.5 million per day in 2006 to an average of £74 million in H1 2007, a rise of 9.6%. Net VaR after diversification effects rose by around 6% from £37.1 million to £39.3 million.
“Increasing portfolio diversification has therefore been crucial to holding down the overall estimated VaR within the proprietary trading business,” says John Kemp, an economist with Sempra Commodities. “It helps explain Barclays Capital’s strong appetite for
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