Amazingly, one specific Value-at-Risk calculation was being done in a series of Excel spreadsheets with values having to be manually copied between them. I get the feeling it was a prototype model for working out the risk that was put into production without being converted to a real system for doing mathematical modeling calculations. And enough errors accumulated in the spreadsheets to underestimate the VaR. An overestimation of risk would have meant that more money was kept safe than should have been, and because it was limiting trades, it would have caused someone to investigate what was
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