December 2009
1 post
The Failure of Value at Risk
One of the most pressing matters facing the world of finance today is finding a way to measure and hedge risk. Previously, numbers and statistics was used to attempt to quantify risk into a single number or variable. This method has been exposed as inadequate. One of the culprits behind this inadequacy is Var.
The risk measure that most banks used, is referred to as Value at Risk (Var). Var has...