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There are challenges in terms of the measurement of VAR for what are known as nonlinear derivatives, where things like gamma and vega are important dimensions of the risk. ↗
If the markets had behaved badly, that would obviously add to people's sense of alarm... but there has been a lot of reassurance coming, particularly in the way the Brits handled all this. There seems to be no great fear that something like that is going to happen here. ↗
