In summary…
VaR has been likened to a “wobbly speedometer”[1] and “an air bag that works all the time, except when you have a car accident”[2]. Against the backdrop of the Q1 2020 market sell-off and heightened volatility since, we take another look at the usefulness of VaR as a risk management tool across hedge fund strategies. And if the air bag won’t protect us, what other safety measures can safeguard us in a market crash?
