The bias of size

Enterprise value at risk (VaR) remains relevant as a key metric in solvency assessment and insurer capital adequacy measurement by regulators in Solvency II regimes. More broadly, including the US, as companies continue to develop their internal economic capital models, VaR is a reference statistic to adjudicate modelled outcomes. In addition, as a competitive assessment tool, VaR metrics can be insightful for benchmarking performance. In all instances, the need for a singular metric comparable across industry segments and geography will increase, as will the need for transparency and uniform methods of estimation.