With high confidence (95%), we can then calculate the VaR as 1.65 standard deviations below the mean.

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With high confidence (95%), we can then calculate the VaR as 1.65 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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Economics

ISBN: 978-0134106243

6th edition

Authors: R. Glenn Hubbard

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Posted Date: Jan 05, 2021 01:55 AM

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With high confidence (95%), we can then calculate the VaR as 1.65 standard deviations below the mean.

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Ans The reasons why this has been criticized are as follows 1 It was potentiall... View the full answer

Economics

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