2 ms·
You're quite right actually! I probably haven't been as explicit as how hidden the risks are when using VaR. Although, within other articles I've tried to make
by shogunmike 12y ago
You're quite right actually! I probably haven't been as explicit as how hidden the risks are when using VaR. Although, within other articles I've tried to make the point that any risk management strategy should be utilised as part of a larger framework.
It is a shame that risk management often takes a back-seat to "alpha generation", as solid implementation of the former is what keeps funds (and retail traders) in business.
- josephlord 12y agoAt least you put them in there. It is always worth knowing the limits of models and where and how the assumptions behind them breakdown. VaR is something with limits that the real world has reached on numerous occasions which I thought was worth highlighting and when it breaks it can do so in a catastrophic manner so that it essentially no longer functions.