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Post by Sapphire Capital on Oct 3, 2008 11:52:38 GMT 4
Interpreting Value at Risk (VaR) Forecasts Allan Gregory Queen's University Jonathan J. Reeves University of New South Wales - School of Banking and Finance Economic Systems, Vol. 32, No. 2, 2008 Abstract: Value at Risk (VaR) forecasts have been increasingly accepted globally by both risk managers and regulators as a tool to identify and control exposure to financial market risk. However, modern portfolios are characterized by a constantly changing composition of security holdings that reflect portfolio managers' strategies, expected prices, and net cash flows into the portfolio. As a result of these factors, portfolio returns are time-varying mixtures of distributions which are unlikely to be well-approximated by conventional methods. papers.ssrn.com/sol3/papers.cfm?abstract_id=1260856
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