Letter to the editor - Kooky science for value-at-risk
Dear Sir,
There is so much wrong with this article's ('VAR: risk mitigant or amplifier', page 38, Asia Risk, February 2008) fear-mongering message that I don't know where to begin.
The maintained hypothesis of systemic risk created by adoption of value-at-risk-based limits first appeared post-Long Term Capital Management - in Nicholas Dunbar's book, Inventing Money, for example.
The authors'
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