VAR modelling not enough
LONDON - Financial institutions need to integrate more qualitative analysis in risk assessment, reducing reliance on quantitative models such as value at risk (VAR), said panellists at the Risk Derivatives Summit in London last Tuesday (June 23).
"You cannot rely too much on risk models, both at management and portfolio level," said Bernd Scherer, managing director at Morgan Stanley Investment Management. "You have to work with risk models knowing they are flawed and you have to apply
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