Exploring the Limitations of Value at Risk: How Good Is It in Practice?

ANDREAS KRAUSE

doi:10.1108/eb022958

Login

Welcome:
Guest

Search for:

Browse:

Product Information:

Resources:

Journal of Risk Finance, The

ISSN: 1526-5943
Incorporates: Balance Sheet

Online from: 1999

Subject Area: Accounting and Finance

Content: Latest Issue | Latest Issue RSS | Previous Issues

Options: To add Favourites and Table of Contents Alerts please take a Emerald profile

Exploring the Limitations of Value at Risk: How Good Is It in Practice?

Document Information:
Title:	Exploring the Limitations of Value at Risk: How Good Is It in Practice?
Author(s):	ANDREAS KRAUSE, (Lecturer in finance at the University of Bath School of Management in the UK. mnsak@bath.ac.uk)
Citation:	ANDREAS KRAUSE, (2003) "Exploring the Limitations of Value at Risk: How Good Is It in Practice?", Journal of Risk Finance, The, Vol. 4 Iss: 2, pp.19 - 28
Article type:	General review
DOI:	10.1108/eb022958 (Permanent URL)
Publisher:	MCB UP Ltd
Abstract:	The benefits of value at risk (VaR) are its simplicity and broad applicability. However, the limitations of VaR are only just being openly discussed by researchers and practitioners. This article provides a brief review of problems faced when applying VaR as a risk management tool. The author shows that VaR is not always a good risk measure and is often prone to substantial measurement error. The author concludes that VaR remains a useful risk management tool when appropriately applied with an understanding of its limitations.

Backfiles Disclaimer

Articles that form part of the Emerald Backfiles have been created through digital scanning. Whilst all efforts have been made to ensure accuracy, Emerald will not be held responsible for any inaccuracies. If you require further clarification please contact backfiles@emeraldinsight.com.