Value at Risk (VaR) and J.P. Morgan have long been intertwined. The bank pioneered this risk model that purports to show how much money a bank stands to lose on any given day. Proponents argue VaR is ...
Amidst the current market turmoil due to the COVID-19 pandemic, it is timely to examine the performance of different Value-at-Risk (VaR) models over the long-term and in previous times of crisis.
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