medium · FRM Part 1 Valuation and Risk Models
A VaR model is considered coherent if it satisfies subadditivity.
In a famous post-mortem, which crisis demonstrated that VaR might understate risk because it doesn't account for the 'liquidity spiral' of correlated assets being sold simultaneously?
- Long-Term Capital Management (1998)
- Metallgesellschaft (1993)
- Barings Bank (1995)
- Orange County (1994)
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