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- 2011-7-2
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- 2015-11-28
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False. VAR and shortfall risk are unable to determine the extent of the worst losses.
However, the way your question is worded is somewhat misleading. At a given confidence level, VAR can indeed tell you the maximum your portfolio is expected to lose.
NO EXCUSES |
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发表于 2011-7-11 19:43
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