VAR “not to blame” for 1998 crisis, says leading academic

In his paper, 'Fallacies About The Effects of Market Risk Management Systems', Jorion takes a fresh look at allegations that risk management systems based on VAR measures contributed to increased volatility in financial markets in the wake of the near-collapse of the Long-Term Capital Management hedge fund in 1998.Some commentators have claimed that VAR measures – which define a maximum loss over a target horizon – encourage a vicious circle of position-cutting by traders when financial

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