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The Journal of Portfolio Management

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Primary Article

“VaR Analytics—Portfolio Structure, Key Rate Convexities, and VaR Betas”

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Yoram Kroll and Guy Kaplanski
The Journal of Portfolio Management Spring 2001, 27 (3) 116-118; DOI: https://doi.org/10.3905/jpm.2001.319807
Yoram Kroll
The Head of Finance Studies in the School of Business Administration at the Hebrew University of Jerusalem in Israel.
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Guy Kaplanski
A lecturer in the School of Business Administration at the Hebrew University of Jerusalem.
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Abstract

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.

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The Journal of Portfolio Management
Vol. 27, Issue 3
Spring 2001
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“VaR Analytics—Portfolio Structure, Key Rate Convexities, and VaR Betas”
Yoram Kroll, Guy Kaplanski
The Journal of Portfolio Management Apr 2001, 27 (3) 116-118; DOI: 10.3905/jpm.2001.319807

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“VaR Analytics—Portfolio Structure, Key Rate Convexities, and VaR Betas”
Yoram Kroll, Guy Kaplanski
The Journal of Portfolio Management Apr 2001, 27 (3) 116-118; DOI: 10.3905/jpm.2001.319807
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