VaR comes in for criticism

Examples of unfounded and therefore inappropriate criticisms in the financial services industry are common. One such criticism is that Value-at-Risk (VaR) assumes a Gaussian distribution of future returns. However the real world is not Gaussian and so VaR is flawed. This criticism ignores the fact that there are a number of methodologies used for computing VaR, and not all of them are based on the Gaussian assumption.

Another criticism is that VaR ignores the 1% of the worst expected returns and

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.waterstechnology.com/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a WatersTechnology account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: