Thu, Aug 24, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Other Voices: Uncovering hidden insights from your VAR engine data

Friday, July 22, 2011

The following post was written by John Doran, Principal, SunGard Global Services’ Energy Practice. Value at Risk (VaR) is a popular metric used in risk management. While it gained popularity in the 1980s after the market crash of 1987, today it is being scrutinized after the market crash of 2008 due to extreme tail events that were not properly identified or mitigated.

Visibility into the behavior of the tail or the distribution of the simulated paths is generally not communicated to the stakeholders that use the metric. These simulated paths, while having low probability, have the potential to cause serious harm to trading operations. However, new visualization techniques are emerging that make it possible to increase transparency around risk, enhance process efficiencies, and boost revenue opportunity.

But first, let’s look at two main challenges. One of the primary problems with VaR is the fact that it is just a single number. Nothing about the behavior on the extreme tail or the distribution of the simulated paths is generally communicated to the stakeholders that use the metric.

The other major challenge with VaR is the fact that it is non-additive. VaR can be broken down into component levels, but one cannot add and subtract these values. However, detailed simulation trials from Monte Carlo can be added and subtracted from one a......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Opalesque Exclusive: Altegris and Artivest partner on distribution for alternative funds suite[more]

    Bailey McCann, Opalesque New York: California-based investment firm Altegris has partnered with New York-based alternative investments platform Artivest on distribution for $1 billion in alternative funds. The partnership also launches Artivest's capabilities to offer alternative solutions to acc

  2. Investing - Buffett's Berkshire Hathaway will not increase its Oncor offer, Travel-tilting hedge funds are investing in airlines and online travel agencies[more]

    Buffett's Berkshire Hathaway will not increase its Oncor offer From Reuters.com: The energy unit of Warren Buffett's Berkshire Hathaway Inc said on Wednesday it will "stand firm" on its $9 billion offer to acquire 80 percent of Oncor Electric Delivery Company LLC and will not increase it

  3. Investing - David Tepper sells airline stocks, except Delta[more]

    From Forbes.com: Head of successful hedge fund Appaloosa Management, David Tepper shied away from airlines in the second quarter after upping his bets in the first three months of the year, according to his portfolio filing released this week. Tepper sold all of his position in United Continen

  4. Opalesque Exclusive: Update: Emerging long-biased hedge fund expands coverage[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Left Brain Capital Management, which manages Left Brain Capital Appreciation Fund

  5. Investing - Silchester International Investors buys 5% stake in bookie William Hill, Hedge funds split over Microsoft, Top hedge funds are bullish on these 3 mega-cap stocks, Hedge funds betting demise in small-cap stocks will get worse[more]

    Silchester International Investors buys 5% stake in bookie William Hill From Thisismoney.co.uk: A leading investment fund has put its cash behind under-pressure William Hill. Mayfair-based Silchester International Investors has bought 5 per cent of the bookmaker's stock - which has almos