Abstract
Although its drawbacks are well known, VAR has become institutionalised as the market risk measure of choice among trading firms and regulators. Now there is a growing feeling that a reappraisal is overdue, exemplified here by Phelim Boyle, Tak Kuen Siu and Hailiang Yang. Using the example of an unhedged option position in the classic two-level binomial tree framework, they evaluate VAR and alternative risk measures using objective and subjective probability measures.
| Original language | English |
|---|---|
| Pages (from-to) | 53-57 |
| Number of pages | 5 |
| Journal | Risk |
| Volume | 15 |
| Issue number | 7 |
| Publication status | Published - 2002 |
| Externally published | Yes |
Keywords
- conditional default rates
- expected shortfall
- quantitative analysis
- risk-neutral modelling
- value-at-risk (VAR)