by admin | Aug 7, 2009 | accuracy, value at risk
In his book, When Genius Failed, author Roger Lowenstein said that Long Term Capital Management reported the Value at Risk on their portfolio with such precision that their investors felt confident in their manager’s control of their assets. LTCM’s client...
by admin | Jul 28, 2009 | risk, value at risk
This past week I spent a day dealing with the single topic of Value at Risk (VaR). This was in a class I’m taking in my doctoral program. Our professor, Aron Gottesman, did a fantastic job showing how VaR isn’t nearly has challenging as one might think. As...
