Measuring and managing market, credit and Op risk [32]

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Bullet points include: Given n time series observations: x1, x2, ..., xn Order realisations and re-label so x(1) <= x(2) ... <= x(n) Then x(r) is the r-th order statistic, where r integer between 1 and n Obvious non-parametric estimator for VaR is k-th order statistic where: Implicitly assumes no temporal dependence (e.g. no GARCH effects)

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