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Risk Management

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  • February 21, 2022
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Interval VaR

Interval value-at-risk; a measure of the risk associated with a risky asset with an interval-valued return. At the core of this interval-valued risk measure is the so-called random interval that describes uncertainty with both randomness and imprecision. Given the pervasive market uncertainty, random intervals are employed to outline the returns of a risky asset.


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