The future of VAR

The New York Times offers a lengthy retrospective on that oft-quoted, little-understood measure of risk called "value at risk," or VAR. The measure was trotted out dutifully by top investment banks in their quarterly reports and essentially became the only measure of risk people cared about. It was intuitive, on the surface anyway, and thus not surprising that it caught on. 

The Times article makes it clear that the measure is flawed. Of course, people in the know have been saying that for a long time. But a crash wouldn't be a crash if everyone knew it was coming. All this suggests that the very idea of risk and how it can be measured is changing--as it should. But can a crash ever really be modeled? Will risk measures always be flawed?

For more:
- here's the article

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