Taleb in 2009 testified in Congress asking for the banning of VaR for a number of reasons. One was that tail risks are non-measurable. Another was that for anchoring reasons VaR leads to higher risk taking.
Taleb in 2009 testified in Congress asking for the banning of VaR for a number of reasons One was that tail risks are non-measurable Another was that for anchoring reasons VaR leads to higher risk taking