We use Algorithmics RiskWatch where portfolios are analyzed by VaR over scenarios. Can I say that they are predictions reports? or descriptions reports?

  • $\begingroup$ Do you mean the report containing a list of pairs (portfolio name, single VaR number)? $\endgroup$
    – ir7
    Jul 22 '20 at 23:24
  • $\begingroup$ You might want to clarify what "VaR over scenarios" means. What is a list of (or maybe just examples) of "scenarios". $\endgroup$
    – noob2
    Jul 23 '20 at 5:41
  • $\begingroup$ There is nothing predictive about VaR $\endgroup$
    – amdopt
    Jul 23 '20 at 19:20

They are neither predictive or descriptive, but proscriptive it is a pre-emptive warning of the worst case scenario, of which you are being given notice to take action to avoid. It is risk management.


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