Value at Risk VaR is a measure that attempts to capture the risk within a firm or investment portfolio One way of calculating VaR assumes that daily returns are distributed according to a Normal distribution With high confidence 95 we can then calculate the VaR as 165 standard deviations below the mean This approach has been criticized following the financial crisis of 2008 Can you think of reasons why?

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Answer During the financial crisis the historically normally distributed ... View the full answer