Quant Congress Europe: VAR models still essential

Despite criticism over the accuracy of value-at-risk models through the financial crisis, chief risk officers speaking at Quant Congress Europe said they were still invaluable.

“Is VAR dead? The answer is no. It may be seen as dysfunctional at the present time, but VAR modelling is an important part of risk management,” said Kanwardeep Ahluwalia, chief risk officer – financial markets at Zurich-based insurance firm Swiss Re.

He explained that it is still useful to determine how a company’s risk profile is increasing or decreasing in particular weeks, and that is should be seen in relation to other risk management factors, such as market stress.

Market participants have

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