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RDP 9708: Measuring Traded Market Risk: Value-At-Risk and Backtesting Techniques
Equation
V
=
max
−
∞
<
x
<
∞
[
S
(
x
)
−
N
(
x
)
]
+
max
−
∞
<
x
<
∞
[
N
(
x
)
−
S
(
x
)
]
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