TY - JOUR
T1 - VaR Analytics-Portfolio Structure, Key Rate Convexities, and VaR Betas” Comment
AU - Kroll, Yoram
AU - Kaplanski, G.
PY - 2001
Y1 - 2001
N2 - In the Fall 1996 issue of this journal, Ho, Chen, and Eng claim that under independence between the returns of “blocks” the “square root of the sum of the squares of the blocks' VaRs” is the lower bound of the portfolio's value–at–risk (VaR). The authors prove that this heuristic is correct only under the very limiting assumption of normal distributed returns. The correct lower bound can be above it for non–normal distributions. Thus, the lower bound claimed by Ho, Chen, and Eng may lead to underestimation of portfolio risk.
AB - In the Fall 1996 issue of this journal, Ho, Chen, and Eng claim that under independence between the returns of “blocks” the “square root of the sum of the squares of the blocks' VaRs” is the lower bound of the portfolio's value–at–risk (VaR). The authors prove that this heuristic is correct only under the very limiting assumption of normal distributed returns. The correct lower bound can be above it for non–normal distributions. Thus, the lower bound claimed by Ho, Chen, and Eng may lead to underestimation of portfolio risk.
UR - https://scholar.google.co.il/scholar?q=A+Comment+on+VaR+Analytics%3A+Portfolio+Structure%2C+Key+Rate+Convexities%2C+and+VaR+Betas&btnG=&hl=en&as_sdt=0%2C5
M3 - Article
VL - 27
SP - 116
EP - 118
JO - The Journal of Portfolio Management: the journal for investment professionals
JF - The Journal of Portfolio Management: the journal for investment professionals
IS - 3
ER -