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Contribution Details

Type Working Paper
Scope Discipline-based scholarship
Title Don't Rely on VaR!
Organization Unit
  • Markus Leippold
  • English
Series Name SSRN
Number 981134
Date 2004
Abstract Text Belief that a single number can capture the degree of risk being taken within a bank or an investment is mistaken - especially when that number is value at risk. Markus Leippold explains why the measure is flawed, points to the dangers of its widespread acceptance by regulators and investors, and suggests an alternative.
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