VALUE AT RISK (VAR)
Dec 17, 1996 · simple to compute if we can derive a probability distribution of potential values. That is basically what we do in the variance-covariance method, an approach that has the benefit 1 For a comprehensive overview of Value at Risk and its measures, look at the Jorion, P., 2001, Value at Risk: The New Benchmark for Managing Financial Risk, McGraw Hill.
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