Portfolio Risk Measurement

Abstract

While the traditional VaR approach has not typically been focused on alternative investment strategies (especially those with pricing or liquidity concerns), VaR remains a focal point of asset risk management approaches. This article provides, for the mathematically adept, examples of both parametric and non-parametric approaches. The article also reflects the increased sophistication necessary to adequately monitor and manage today's portfolios. Perhaps it is that very sophistication that makes it the necessary response to the spread of today's asset management and control.