Var Quotes

I think VAR is a very healthy development within the industry.

Alan White and I have not as yet written anything on VAR but we have done a number of consulting projects in this area and expect to do more.

One important measurement issue concerns the fat tails problem that I mentioned earlier. VAR is concerned with extreme outcomes. If the tails of the probability distributions we are using are too thin, our VAR measures are likely to be too low.

There are challenges in terms of the measurement of VAR for what are known as nonlinear derivatives, where things like gamma and vega are important dimensions of the risk.