I subscribe to a few Google Alerts, so that I’m aware when interesting stories are posted. One is for Value at Risk, and yesterday there was a link to a book by Philippe Jorion with the headline as noted above.
“The new benchmark for managing financial risk?”
Perhaps someone should alert Nassim Taleb of such a statement. I’d say that the jury is definitely out on the value of VaR. And to suggest that it’s the “new benchmark” to manage risk is hyperbole run amok. PLEASE!
I’m thinking some dialogue is in order to discuss the various risk measures and their respective merit. I’ll begin shortly with my views.