Yamai, Yasuhiro; Yoshiba, Toshinao - In: Monetary and Economic Studies 20 (2002) 1, pp. 57-85
Value-at-risk (VaR) has become a standard measure used in financial risk management due to its conceptual simplicity, computational facility, and ready applicability. However, many authors claim that VaR has several conceptual problems. Artzner et al. (1997, 1999), for example, have cited the...