revised-var-hybrid-approach
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Calculating revised VaR Hybrid approach
The 5th percentile should be between lowest and 2nd lowest transaction i.e. -4.70 % -4.10% then how -3.6% and -3.4% choosen?? Please clarify- desh
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- ewma hybrid-approach revised-var-hybrid-approach
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- Forum: P1.T4. Valuation & Risk Models (30%)