Cheridito, Patrick; Stadje, Mitja - In: Finance Research Letters 6 (2009) 1, pp. 40-46
We show that VaR (Value-at-Risk) is not time-consistent and discuss examples where this can lead to dynamically inconsistent behavior. Then we propose two time-consistent alternatives to VaR. The first one is a composition of one-period VaR's. It is time-consistent but not coherent. The second...