Tag Archives: VaR

What is the link between VIX and VaR?

Posted on September 23, 2013 by Thomas Coleman

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 →

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Managing financial risk and the limitations of quantitative modeling

Posted on June 17, 2013 by Thomas Coleman

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 →

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Marginal Contribution to VaR for Simulation

Posted on June 5, 2013 by Thomas Coleman

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 →

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Rights and Wrongs of Value at Risk (VaR)

Posted on May 14, 2012 by Thomas Coleman

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 →

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