normal deviate
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Calculation of Tail VaR in ES and Normal Deviate in Spectral Measure
Hello, I have just started with the first instructional video of part 2, covering market risk measures. In the ES calculation, I do understand the concept, but what is confusing me after many hours of trying to figure it out, is the calculation of the tail VaRs. For example, for the 99% CL...- Jul Jul
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- expected shortfall normal deviate spectral measure tail var z-score
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- Forum: P2.T5. Market Risk (25%)