RiXtrema: When swans are grey: VaR as an early warning signal

The market events of 2008 will be remembered as much for their extreme volatility as for a widespread failure of the risk management, which contributed to the near collapse of many firms thought to be among the leaders in that field. This paper identifies a key deficiency in the way that the historical data are currently utilised in the estimation of risk. This deficiency stems from the conception of the marketplace as an equilibrium-seeking and continuous system and it led to the financial

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