Misys: Risk Management Beyond VaR

After more than twenty years of detailed development of risk measurement and management techniques, it is essential to ask why the Global Financial Crisis took so many of us by surprise. A central reason is that distributional analysis, which is the foundation for concepts such as value-at-risk, was too often treated as a fully comprehensive basis for measuring risk. In fact, short-term market volatility is one important aspect of risk, but it may actually be a misleading indicator of a system

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