Measuring and managing market, credit and Op risk [85]

Go to: Summary | Previous | Next   
Bullet points include: VaR often criticized because in some cases VaR for a portfolio may exceed sum of the VaRs for its component parts Counterintuitive as we might expect diversification to reduce risk VaR is homogeneous, i.e. But does not satisfy all of the axioms we might want a risk measure to exhibit, as not coherent Which also means its use in portfolio optimisation can go awry, see Kemp (2011) A different way of focusing on merits of VaR vs TVaR is to explore who gains or loses if a different risk measure is used

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile