John At The Center

VaR “should be consigned to the dustbin,” he added, supporting his argument by saying the VaR forecast of how much an investor can lose is entirely calculated from historical data. “It’s a mathematical tool that simply reflects what happened to a portfolio of assets during a certain past period,” he writes. And, thus, “The VaR metric has little to do with how a portfolio will fare in the future — and that includes tomorrow. When it comes to the market, the past is definitely not prologue.”

via In Goldman’s Defense: VaR Belongs in the ‘Dustbin’ – DealBook Blog – NYTimes.com.