The market crash of 1987 revealed the failure of risk management systems. This stimulated the search for new approaches, which led to the development of the Value at Risk (VaR) concept. In the 1990s, this risk measure became standard, and in 1999 it received official and international status in the Basel agreements.rnIn the course of time, VaR became a compulsory characteristic in the reports of most financial institutions. Step by step, market professionals came to believe that this indicator adequately described the risk of any investment portfolio regardless of structure or complexity. However, the financial crisis of 2008 revealed inconsistencies between forecasts based on VaR and actual losses incurred by market participants.
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