RT Journal Article
SR Electronic
T1 Portfolio Risk Measurement
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 34
OP 42
DO 10.3905/jai.1999.318920
VO 2
IS 1
A1 Sam Y. Chung
YR 1999
UL https://pm-research.com/content/2/1/34.abstract
AB 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.