Risk measures [7]

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Bullet points include: The Value-at-Risk, VaR alpha(X), of the portfolio is the outcome (loss), X, that will be exceeded on a fraction alpha of occasions. Requires time-scale (T) as well as confidence level (alpha). Where the support of the distribution is continuous then Value-at-Risk with confidence level alpha is: Sometimes alpha and 1-alpha interchanged, or losses positive not negative etc.

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