VAR is claimed not to be a coherent risk measure. Explain the meaning of this term and

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VAR is claimed not to be a coherent risk measure. Explain the meaning of this term and whether this criticism applies to normal distributions.

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Value at Risk The New Benchmark for Managing Financial Risk

ISBN: 978-0071464956

3rd edition

Authors: Philippe Jorion

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Question Posted: May 03, 2016 02:15 AM

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VAR is claimed not to be a coherent risk measure. Explain the meaning of this term and

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Noncoherent means that the risk of two assets can be greater ...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

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