In the case of a normally distributed loss, , we may find an explicit expression for CV@R.

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In the case of a normally distributed loss, image text in transcribed , we may find an explicit expression for CV@R. Let us consider a standard normal loss first, where , the familiar quantile for the standard normal distribution. We have

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An Introduction To Financial Markets A Quantitative Approach

ISBN: 9781118014776

1st Edition

Authors: Paolo Brandimarte

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Question Posted: Apr 02, 2024 07:01 AM

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In the case of a normally distributed loss, , we may find an explicit expression for CV@R.

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L~NHL, 0) L

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An Introduction To Financial Markets A Quantitative Approach

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