Howard Marks：Risk Revisited Again, Excerpt 13

“Value at Risk” was supposed to tell the banks how much they could lose on a very bad day. During the crisis, however, VaR was often shown to have understated the risk, since the assumptions hadn’t been harsh enough. Given the fact that risk managers are required at banks and de rigueur elsewhere, I think more money was spent on risk management in the early 2000s than in the rest of history combined . . . and yet we experienced the worst financial crisis in 80 years. Investors can calculate risk metrics like VaR and Sharpe ratios (we use them at Oaktree; they’re the best tools we have), but they shouldn’t put too much faith in them.

Source： https://www.oaktreecapital.com/docs/default-source/memos/2015-06-08-risk-revisited-again.pdf
Locator：Memo, excerpt 13 · Verified：2026-10-19 · Verification：Short excerpt

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