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...The effect of var based risk management on asset prices and volatility smile arjan berkelaar world bank phornchanok cumperayot erasmus university rotterdam roy kouwenberg aegon hague abstract value at has become standard criterion for assessing in financial industry given widespread usage it becomes increasingly important to study effects stocks options we solve a continuous time pricing model lucas basak shapiro investigate these find that presence managers tends reduce market as intended however some cases undesirably raises probability extreme losses finally demonstrate option an economy with display introduction many institutions non firms nowadays publicly report measure potential internal uses other sophisticated measures are rise where example banks committee may set limits both amounts probabilities trading operations fund industrial level supervisors use summary exposure advantage following from theory is can be computed without full knowledge return distribution semi parametr...