Wolters Kluwer Financial Services

Financial News, April 2010 - Fear drives rethink of value-at-risk models

However, some in the risk business believe stressed versions of VaR contain the same flaws as the basic measure. Selwyn Blair-Ford, senior domain expert at regulatory consultancy FRSGlobal, said: "The idea of a stressed VaR is an oxymoron. Any model that calculates risk by multiplication is suspicious."

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