The parametric VaR is defined as follows:
- Is this the best way to interpret how much risk is being taken on for a particular asset?
- How does one interpret volatility on its own if its not converted into a percent figure?
- Therefore, wouldn't be better if sharp ratios were expressed in VaR's?
- I mean, what does it really mean if a Portfolio Manager is gaining 2% return for 1 unit of risk. What does 1 unit of risk mean?
Shouldn't risk only be defined only in percentage terms -- having a hard time wrapping my head around this concept of volatility as a risk measure.
What do you guys think?