Cutting Edge introduction: risky contributions

Risky contributions

chalkboard model

The calculation of risk measures such as value-at-risk – which continues to be widely used despite its shortcomings – is vital to risk management. Quants tend to calculate them in numerical fashion, usually via Monte Carlo simulation, because the functions themselves tend to resist direct formulas. For instance, VAR is a quantile of the underlying returns distribution, which is hard to write down directly.

The exception comes when sensitivities are used as a starting place – with a risk measure

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a 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: