Value at Risk (VaR) is often criticised. This is especially the case from those who don't use it, no surprise there and I label such propaganda as statistical xenophobia by the masses. There is even a mainstream following that claims in some respect that the use of Value at Risk should be scrapped. Interestingly, I have never met anyone of this thinking who is able to suggest a viable and cognitive alternative. Well, not quite yet that is.
In this post we look at the problems with VaR and what can be done to improve this measure of potential downside.