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- W2479749928 abstract "Faulty risk measurement is worse than no risk measurement, because it may give investors an unwarranted sense of security. Standard risk measures are often poor indicators of actual risk. Major sources of risk frequently fail to be reflected by typical risk metrics. The most widely used risk measure–volatility–will fail to indicate a host of risks that are intermittent in nature. Investors seeking low-risk investments and using volatility as their guideline may perversely be drawn to higher-risk investments. Any risk assessment that is solely based on the track record is inherently flawed. This chapter discusses various hidden risks that are often not evident in the track record. Investors need to consider these hidden risks. A comprehensive risk analysis may begin with track-record-based measurements but must also include an understanding of the investment strategy and its inherent risks, as well as an evaluation of the risk management policies of the manager. A misconception is that Value at Risk (VaR) provides a good indication of worst-case risk. But, in reality, VaR may severely understate worst-case risk when the look-back period used to calculate this statistic is not representative of the future volatility and correlation levels of the portfolio holdings." @default.
- W2479749928 created "2016-08-23" @default.
- W2479749928 creator A5060767844 @default.
- W2479749928 date "2012-01-02" @default.
- W2479749928 modified "2023-10-16" @default.
- W2479749928 title "The Mismeasurement of Risk" @default.
- W2479749928 doi "https://doi.org/10.1002/9781119203902.ch4" @default.
- W2479749928 hasPublicationYear "2012" @default.
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