Value at risk: The model bubble

Value-at-risk is taking over the financial world. Some 60% of financial institutions now use this methodology for their risk management models, according to a study by the accountants Deloitte. The proportion is set to grow, as VAR is endorsed by regulators and accountants as the risk-measurement method of choice. The desire to keep risks under control is certainly laudable. And the basic idea of VAR - to estimate how much a particular trading position is likely to lose, based on past patterns ...