Purpose –Maximum Loss was one of the risk measures proposed as alternatives to Value at Risk following criticism that Value at Risk is not coherent. Although the power of Maximum Loss is recognised for non-linear portfolios, there are arguments that for linear portfolios Maximum Loss does not...

Purpose – Maximum Loss was one of the risk measures proposed as alternatives to Value at Risk following criticism that Value at Risk is not coherent. Although the power of Maximum Loss is recognised for non‐linear portfolios, there are arguments that for linear portfolios Maximum Loss does...