It is now time to summarize what we have seen so far.
Is everything clear about the computation of VaR and ES?
Can you say why the VaR is not always coherent? What does that mean in economic terms?

The script of this first Sofa Session.

In posting these optional materials, I want to offer you the possibility of discovering different points of view, because truth is rarely pure and never simple.

Personally, I am not a great supporter of VaR as a measure of risk, since it is not coherent, it is easily misunderstood, and people tend to underestimate risk by using VaR.
But Value-at-Risk is just a statistical tool, a number. VaR itself is therefore harmless. We cannot blame VaR for the crisis, or for our wrong choices. The problem is the use we make of tools like VaR.
It is surely true that Basel II gave too much relevance to VaR as a measure of risk, especially for market risk, but it is also true that many “experts” relying on Value-at-Risk were not aware of what they were doing.
This is what I want you to learn: every statistical technique has its own strengths and its own weaknesses. You must know all of them, and use them in the best way.

In the first video, Prof. Dr. Taleb, the famous author of “The Black Swan“, speaks against the VaR and other related measures in front of the US Congress.

This is a nice article to read: VaR: The number that killed us. Futures, 2010.

Here another interesting video.
They essentially speak about the use of VaR in Market Risk, but the discussion is very interesting. If you have problems in watching this video, because of the firewall of Risk.net, copy and paste the following line in Google:”ernst young risk magazine chief risk officers roundtable recast part 2″

The video I am suggesting is the first one to appear in your search results.