Value at
Risk
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Period μ
—
Scaled to period
Period σ
—
Scaled by √t
VaR (Absolute)
—
Maximum loss
Asset Value at VaR
—
Floor value
VaR as % of Asset
—
Relative loss
Expected Shortfall
—
CVaR / ES
—
—
Distribution
Loss Tail
Profit Region
VaR Threshold
Mean
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