Optimising VAR and terminating Arnie-VAR

Albanese, Caenazzo and Syrkin show how full-revaluation VAR is more accurate and robust than sensitivity-based VAR measures


Hedging of value-at-risk is becoming a crucial practice for reducing gratuitous risk exposures and funding costs. Claudio Albanese, Simone Caenazzo and Mark Syrkin find sensitivity-based VAR measures are liable to fail backtesting requirements for hedged portfolios, while full-valuation VAR is a more robust metric that is broadly applicable. They also discuss a regression-based approach to computing hedge ratios

Value-at-risk is the metric at the root of calculations

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: