DeepSouth Posted July 11, 2016 Share Posted July 11, 2016 Credit risk similarly becomes mathematical algorithm both instant and near perfect. Any bank which fails to get on board will disappear. Probably the existing big banks will be the amongst the first to sign on so check to see who owns most of the shares of any of your bank holdings. VaR (value at risk) was near perfect super computed mathematical model of risk right? How'd that work out in 2008....? If there is garbage data in the system (and any system with humans contains it because we're not rational and do weird things that don't make sense) then you can't predict anything with perfect accuracy. VaR specifically doesn't measure risk of losses in times like late 2008. That's not the point of the metric. Link to comment Share on other sites More sharing options...
LC Posted July 11, 2016 Share Posted July 11, 2016 Or cVaR/expected shortfall Link to comment Share on other sites More sharing options...
Recommended Posts
Create an account or sign in to comment
You need to be a member in order to leave a comment
Create an account
Sign up for a new account in our community. It's easy!
Register a new accountSign in
Already have an account? Sign in here.
Sign In Now