Cutting edge: Visualising value-at-risk

Risk managers are keenly aware of the challenges they face in understanding the risk profile of their organisation. Risk reports not only must be timely and accurate, but also must be informative and easily comprehended. Value-at-risk (VaR) is popular because it condenses a large amount of information into a single number. However, within the traditional VaR framework, it is difficult to understand the diversification effects that occur in most large portfolios, especially if the organisation tr

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