Have we gone too VAR? The forsaken side of risk management

W. Randall Payant

Journal of Risk Management in Financial Institutions, 2009, vol. 2, issue 3, 243-249

Abstract: Financial institutions are reeling with unprecedented losses, much of which can be traced to the adoption of risk models and management techniques that failed the test of time. This paper comments on how bright portfolio managers got into this global calamity, what was overlooked, and steps the profession can take to foster improved decision making. According to Randall Payant, the time is now for risk professionals to reexamine the foundation of their beliefs about risk taking. Doing so should allow for a better understanding of how to improve the management process that can help avoid future economic disasters.

Keywords: value-at-risk; financial modelling; VAR; risk management; market liquidity; earnings-at-risk; risk-taking; philosophy; modelling errors (search for similar items in EconPapers)
JEL-codes: E5 G2 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:aza:rmfi00:y:2009:v:2:i:3:p:243-249

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