Monday, April 13, 2009

Fixing a broken system - Pensions & Investments

One of those models is Value at Risk or VaR, the widely used measure of risk of mark-to-market loss in a portfolio. An often overlooked component of VaR is that it assumes “normal” market conditions, and thus it has been criticized for failing to predict the magnitude of investors' losses suffered in the current crisis.
Fixing a broken system - Pensions & Investments

No comments: