CIBC's Mark & Crouhy: VaR CanStill Work
PARIS --Corporate managers and portfolio managers have long been warned by risk experts not to rely too heavily on VaR alone as a risk indicator, because the tool is not designed to address stressed market conditions and its output can vary widely depending on inputted risk factors. Now that recent extreme market events have made this point painfully clear, managers are faced with a quandary: dismiss VaR or engineer additional risk tools that bolster VaR's effectiveness, such as credit VaR
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