RT Journal Article SR Electronic T1 A Note on the Use of Modified Value-at-Risk JF The Journal of Alternative Investments FD Institutional Investor Journals SP 79 OP 83 DO 10.3905/jai.2012.14.4.079 VO 14 IS 4 A1 Laurent Cavenaile A1 Thomas Lejeune YR 2012 UL https://pm-research.com/content/14/4/79.abstract AB While modified value-at-risk (or Cornish–Fisher value-atrisk) has been quite extensively used by practitioners and academics since its introduction, the authors show that it can be consistently used only over a limited interval of confidence levels. Confidence levels below 95.84% should never be used if one wishes to be consistent with investors’ preferences for kurtosis. In addition, the use of higher confidence levels is restricted by the value of the skewness. Failure to respect these restrictions on confidence levels results in misassessing risk and potentially overweighting assets that exhibit undesirable properties in terms of higher moments.TOPICS: VAR and use of alternative risk measures of trading risk, statistical methods