Suppose that a pension fund imposes strict VAR limits on the active managers. What are the pros

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Suppose that a pension fund imposes strict VAR limits on the active managers. What are the pros and cons of measuring VAR over a short window?

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Value at Risk The New Benchmark for Managing Financial Risk

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Authors: Philippe Jorion

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Question Posted: May 03, 2016 02:23 AM

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Suppose that a pension fund imposes strict VAR limits on the active managers. What are the pros

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To conclude I can say that using a short window w...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

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