RT Journal Article SR Electronic T1 “VaR Analytics—Portfolio Structure, Key Rate Convexities, and VaR Betas” JF The Journal of Portfolio Management FD Institutional Investor Journals SP 116 OP 118 DO 10.3905/jpm.2001.319807 VO 27 IS 3 A1 Yoram Kroll A1 Guy Kaplanski YR 2001 UL https://pm-research.com/content/27/3/116.abstract AB In the Fall 1996 issue of this journal, Ho, Chen, and Eng claim that under independence between the returns of “blocks” the “square root of the sum of the squares of the blocks' VaRs” is the lower bound of the portfolio's value–at–risk (VaR). The authors prove that this heuristic is correct only under the very limiting assumption of normal distributed returns. The correct lower bound can be above it for non–normal distributions. Thus, the lower bound claimed by Ho, Chen, and Eng may lead to underestimation of portfolio risk.