Risk Evaluation and Financial Crises

Review of New Approaches to Risk Evaluation: VaR Criticism, Alternatives, and Modifications

Vadim TsudikmanSergey Izraylevich, PhDArsen Balishyan, PhD, CFA

 

“The significant problems we face cannot be solved at the same level of thinking we were at when we created them.”

Albert Einstein

Introduction

Classification, measurement, and management of risks are the key problems in the investment process. The cornerstone of the modern theory of finance is the relationship between estimated risk and expected return, where greater returns are associated with higher risk levels. Despite the fact that the concept of risk itself plays a central role in the theory and practice of finance, and even after the fundamental ...

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