Risk Capital and VaR
VaR: a tool to measure leverage risk : Suggests that if you have a leveraged portfolio, it might be a better idea to rely on VaR as a risk measure instead of Sharpe Ratio. Sharpe Ratio doesn't seem to change much when the portfolio is leveraged.
Stress Testing: Move over, VaR
VaR: a tool to measure leverage risk : Suggests that if you have a leveraged portfolio, it might be a better idea to rely on VaR as a risk measure instead of Sharpe Ratio. Sharpe Ratio doesn't seem to change much when the portfolio is leveraged.
Stress Testing: Move over, VaR
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