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An Irreverent Guide to Value at Risk
Company: Financial Engineering News
Year Of Publication: 1998
Month Of Publication: March
Pages: 17-18
Download Count: 269
View Count: 16326
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 6-4-2012
Publisher: Administrator
Summary
Value at Risk ("VaR") is much on the minds of risk managers and regulators these days, because of the promise it holds for improving risk management. It is common to hear the question asked, could VaR have prevented Barings, or Orange County, or Sumitomo. No answer to questions of that sort will be attempted here. Instead, this essay will take a normative approach. My purpose is more modest, namely, to provide the reader with some background by describing VaR and its evolving role in risk management. Because of its technical nature, it is customary to begin any discussion of Value at Risk VaR with a definition. I offer three equivalent definitions
Author(s)
Schachter, Barry Sign in to follow this author
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