On perusing an email from Lepus some weeks ago I was struck by the title of one piece of their research "VaR, what is it good for!"
Having been involved in working with several banks on market risk implementations a decade ago, I remember the mathematical simplicity and purity of VaR models had at the time, the impact that the original RiskMetrics publication had, and so on.. I don't
recall too many comments back then regarding the problems of VaR models being so deficient (with some exceptions such as capturing non-linearity etc), but the Lepus headline brought it home in terms of where some of the challenges may now be.
We can debate until tails get long on whether the challenge is model, data or governance. Whether risk models are art imitating science, or whether they give a false comfort of risk insight based on poorly communicated assumptions.
Either way if we believe risk management needs to re-establish its credentials to re-capture the heady days of a decade back, can we look for the perceived universal saviour that VaR may have been at that time, or do we expect a tougher, more fragmented
and less standardised approach to risk best practice going forward..