A New Measure of Risk - Hybrid VaR

This paper introduces the new risk measure Hybrid Value at Risk and compares it to other financial models. This white paper does not seek to discuss how most of the criticism is often ill-placed, that VaR is not the only risk measure available in risk management, that VaR can be produced with models other than Gaussian Variance/Covariance, and so forth. We want instead to focus our attention on two serious failures of VaR (and similar measures, including Expected Shortfall, or Conditional VaR) during this ongoing crisis

Dario Cintioli

Product Director

Dario joined StatPro in 2003 following StatPro’s investment in RiskMap. Dario was the original creator of StatPro Risk Management. He is an expert in risk management, fixed income attribution and reporting techniques, including ‘Value at Risk’, which provides a monetary measure of the risk of a portfolio.

Before establishing RiskMap and joining StatPro Dario spent 10 years in leading Italian financial institutions, as Head of Interest Rate Derivatives and Head of Quantitative Analysis. Today Dario is responsible for all StatPro’s products including software and data services.