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Technical paper

Component VAR for a non-normal world

Author: Brian Peterson, Kris Boudt

Source: Risk magazine | 01 Nov 2008

Categories: VAR

Topics: Portfolio modelling, Quantitative analysis, Value-at-risk (VAR)

Value-at-risk is the most widely used downside risk measure in finance. Garman (1997) introduced the concept of component VAR and showed that for portfolio...

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Component VAR for a non-normal world

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