A new measure of risk – hybrid VaR

This paper by Product Director, Dario Cintioli, introduces the new risk measure Hybrid Value at Risk and compares it to other financial models. This white paper does not seek to discuss how most of the criticism is often ill-placed, that VaR is not the only risk measure available in risk management, that VaR can be produced with models other than Gaussian Variance/Covariance, and so forth. We want instead to focus our attention on two serious failures of VaR (and similar measures, including Expected Shortfall, or Conditional VaR) during this ongoing crisis


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