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2#
发表于 2011-7-11 19:51
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Sure it's in the Schweser Notes.
From memory:
Advantage would be being able to compare and combine very dissimilar asset classes or business units with (depending on the method of calculation) no assumption of distribution normality.
Disadvantage is primarily that it doesn't provide any sense of the shape of the distribution exceeding the VAR loss. |
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