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System and method for determining value at risk of a financial portfolio
System and method for determining value at risk of a financial portfolio
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机译:确定金融投资组合的风险价值的系统和方法
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摘要
The present invention provides a system and method for accurately estimating value-at-risk (VAR) of a financial portfolio. The present invention analyzes a distribution of sorted financial data samples to determine an accurate range of upper and lower limits of an expected value of VAR so that an analyst or another financial analysis system may select an appropriate VAR value from the range presented.
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