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Value at Risk for the Asset Manager
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Value at Risk for the Asset Manager
Author: Mary Ellen Stocks & Christopher Ito
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While much has been written about the use of Value at Risk methodology, its benefit to the buy side, and more specifically the performance measurement area, has not been as closely examined. Here, the authors provide a brief view of VAR from our side of the fence: noting some of its strengths, weaknesses and discussing its applications for investment managers.
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