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YouTube T1-2 What is value at risk (VaR)?

Nicole Seaman

Chief Admin Officer
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Value is risk is just a statistical feature of probability distribution (the hard part is specifying the probability distribution): VaR is the quantile associated with a selected probability; i.e., what's the worst that can happen with some level of confidence?

See David's XLS here: http://trtl.bz/1008-what-is-var

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