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Why investors are stuck with flawed VAR models


This is the third in a series of articles connected to our buy-side risk survey. Click here to read the rest of the series.

When Risk.net asked buy-siders which risk measure helped them most through the Covid-19 selloff, few chose value-at-risk.

Three-quarters of respondents to Risk.net’s buy-side risk management survey use VAR to measure portfolio risk, behind only portfolio volatility (80%) and historical stress tests (77%). But asked how useful VAR had been during the selloff, one-third

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