VaR pitfalls

I am very pleased to announce that the NYSSA has published a brief article of mine on the Pitfalls of Value at Risk. I had written an earlier background piece on VaR for their journal, so this can be viewed as a follow-up piece. Hope you have the chance to review it,...

A balanced approach to risk

I typically tell the students who attend our Fundamentals of Performance Measurement course that risk is the most challenging aspect of our industry. We can’t agree on what it means or how to measure it. And while many today see risk as either being the...

Statistically, VaR works!

What’s the old saying? There are lies, damn lies, and statistics. “Value at Risk works” is arguably, from a statistical point of view, an accurate statement. But as with many statistics, we need to understand what’s truly at work. If you are...

A good VaR disclosure

Value at Risk (VaR) continues to be addressed though it appears that in spite of its shortcomings, it isn’t going away. Therefore, we would recommend that you include an appropriate disclosure whenever you report it, so that the recipient is better informed....

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