Corpus ID: 218596189

Value-at-Risk substitute for non-ruin capital is fallacious and redundant

  title={Value-at-Risk substitute for non-ruin capital is fallacious and redundant},
  author={Vsevolod Konstantinovich Malinovskii},
  journal={arXiv: Risk Management},
  • V. Malinovskii
  • Published 2020
  • Economics, Mathematics
  • arXiv: Risk Management
This seemed impossible to use a theoretically adequate but too sophisticated risk measure called non-ruin capital, whence its widespread (including regulatory documents) replacement with an inadequate, but simple risk measure called Value-at-Risk. Conflicting with the idea by Albert Einstein that "everything should be made as simple as possible, but not simpler", this led to fallacious, and even deceitful (but generally accepted) standards and recommendations. Arguing from the standpoint of… Expand


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