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Tag Archives: Value at Risk
JP Morgan “London Whale” series by Lisa Pollack
I discuss the JP Morgan “London Whale” credit derivatives trading loss in my “Practical Risk Management Course” at the University of Chicago Booth School of Business. I found Lisa Pollack’s discussion of the background and details invaluable. The following is … Continue reading
What is the link between VIX and VaR?
VaR is Value at Risk – a concept widely used (and miss-used) in financial risk management. VIX is the Volatility IndeX, a measure of the implied volatility of S&P 500 index options. (Legally, it is a trademarked ticker symbol for … Continue reading
Managing financial risk and the limitations of quantitative modeling
John Kay in a 2011 column says that the management of risk is “almost entirely a matter of management competence, well-crafted incentives, robust structures and systems, and simplicity and transparency of design.” (“Don’t blame luck when your models misfire” Wednesday … Continue reading
Marginal Contribution to VaR for Simulation
Last week I was talking to a group of risk professionals and advocating marginal contribution to risk when someone asked “what about calculating marginal contribution to VaR for historical or Monte Carlo simulation?” (NB – we’re talking here about Litterman’s … Continue reading
Rights and Wrongs of Value at Risk (VaR)
With the loss announced by JPMorgan Chase last week there are, once again, loud and varied denunciations of Value at Risk or VaR. Unfortunately, such talk sheds little light upon and often shows misunderstanding of the underlying issues. Take the … Continue reading