Incorporates: Balance Sheet
Online from: 1999
Subject Area: Accounting and Finance
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|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. email@example.com)|
|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.|
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