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

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