VaR has been criticized for not being a coherent risk measure. Why is this?

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VaR has been criticized for not being a “coherent” risk measure. Why is this?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 11, 2024 09:03 AM

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Discuss why VaR is not a coherent risk measure and why having coherence risk measures is important.
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VaR has been criticized for not being a coherent risk measure. Why is this?

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VaR fails one of the important natural properties that a risk m...View the full answer

Derivatives Principles And Practice

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