Risk management has truly undergone a revolution in the last decade. It was just over 10 years ago, in July 1993, that the Group of 30 (G-30) officially promulgated best practices for the management of derivatives.1 Even though the G-30 issued its report in response to the string of derivatives disasters of the early 1990s, these best practices apply to all financial instruments, not only derivatives. This was the first time the term ‘Value-at-Risk’ (VaR) was publicly and widely mentioned. By now, VaR has become the standard benchmark for measuring financial risk. All major banks dutifully report their VaR in quarterly or annual financial reports.