VaR e rischio, legittimi dubbi

Il New York Times Magazine ha una lunga storia sulla genesi del Value-at-Risk e sui suoi critici. L’aspetto paradossale è la vicinanza dei critici alle opinioni dei fondatori del metodo VaR, che hanno ben presente le sue limitazioni. Sorge il dubbio: i banchieri che hanno divinizzato l’approccio VaR erano tanto incompetenti da non leggere le avvertenze del prodotto oppure si stanno soltanto nascondendo dietro ad un comodo capro espiatorio?
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ONE THING THAT surprised me, as I made the rounds of risk experts, was that if you listened closely, their views weren’t really that far from Taleb’s diagnosis of VaR. They agreed with him that VaR didn’t measure the risk of a black swan. And they were critical in other ways as well. Yes, the old way of measuring capital requirements needed updating, but it was crazy to base it on a firm’s internal VaR, partly because that VaR was not set by regulators and partly because it obviously didn’t gauge the kind of extreme events that destroy capital and create a liquidity crisis — precisely the moment when you need cash on hand.
In a crisis, Brown, the risk manager at AQR, said, “you want to know who can kill you and whether or not they will and who you can kill if necessary. You need to have an emergency backup plan that assumes everyone is out to get you. In peacetime, you think about other people’s intentions. In wartime, only their capabilities matter. VaR is a peacetime statistic.”
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