RT Journal Article
SR Electronic
T1 Understanding the Estimation Risks of Value at Risk
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 64
OP 85
DO 10.3905/jai.2013.16.3.064
VO 16
IS 3
A1 Donald R. Chambers
A1 Michael A. Kelly
A1 Qin Lu
YR 2013
UL https://pm-research.com/content/16/3/64.abstract
AB This article discusses estimation of value at risk (VaR) in the context of alternative investments. The diverse return distributions of alternative investments raise both opportunities and challenges for value at risk. The opportunities arise from the inadequacy of traditional risk measures such as volatility and beta to capture the risks of alternative investments. The challenges arise from the difficulty of estimating VaR when return distributions are not well understood and/or trading strategies are dynamic.TOPICS: Real assets/alternative investments/private equity, VAR and use of alternative risk measures of trading risk