The Limits of Value-at-Risk Models for the Purpose of Portfolio Scoring

Amid the current market volatility, advisers should recognize that using value-at-risk models to assess portfolio risk is not a foolproof approach.


While providing a more advanced model for portfolio “risk scoring” than simple asset allocation approaches, Value at Risk (VaR) techniques can be quite sensitive to recent market turmoil. In this OpEd, Andrew Aziz discusses how a firm’s range of model portfolios can be used to normalize a VAR based risk score and remove this limitation.


Read HERE the full article in InvestmentNews