Conclusion

We can easily criticize the flaws in the VaR models implemented at our institutions,
but the simplicity of the assumptions behind our VaR implementations is actually
an asset that facilitates education of both senior and junior personnel in the
organization, and helps us retain intuition about the models and their outputs. In
fact, VaR models perform surprisingly well, given their simplicity. Creating the
modeling, data, systems and intellectual infrastructure for firm-wide quantitative risk management is a huge undertaking. Successful implementation of even a simple
VaR model is a considerable achievement and an ongoing challenge in the face of
continually changing markets and products.