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How Well Can Stress Testing Complement VaR?
Company: Derivatives Risk Management Service
Year Of Publication: 2001
Month Of Publication: January
Pages: 11
Download Count: 2183
View Count: 9811
Comment Num: 0
Language: EN
Who Can Read: Free
Date: 10-6-2002
Publisher: Administrator
The market events surrounding the 1998 demise of Long Term Capital Management servedto identify some of the pitfalls of using Value at Risk (“VaR”) and to focus attention on the useof stress testing as a complement to VaR for market risk management. Despite the attention, theprinciples of useful stress testing are not well understood. A review of VaR’s deficiencies isinstructive in identifying the elements of useful stress tes
Schachter, Barry Sign in to follow this author
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