Risk Management: In the Eye of the Storm
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After VaR: Q&A with Ron Papanek
December 15, 2010
RP: I’m willing to bet there’s two heads.
RP: And so the problem with VAR has to do with the usage, not with the framework.
STM: So in effect, I guess your answer to the question, “What comes after VaR?” is other tools. Life goes on with VaR, just with a broader set of tools.
RP: Value at Risk is a useful analytical framework. But let’s not try to get too much out of it; let’s get out of it what we can get out of it. We should also incorporate other risk measures.