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Financial risk management122

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  • http://news.morningstar.com/articlenet/article.aspx?id=382567
    -- 'True Risk is unknowable and True Risk, as we've labeled it here, is to combine many different indicators of risk'
    as observed in slide 22 -- different approaches to Risk Measurement is appropriate at different times. When the markets are normal (absence of shocks, crisis) VaR may be suitable.
    If Shocks are imminent then relying on VaR to the exclusion of other methods is not appropriate.
    One must consider MLE and FAT Tail more in depth and certainly run rigorous scenario testing.
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