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### Lecture21_stat107v6_1up

Course: STATS 107, Spring 2012
School: Harvard
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Word Count: 2275

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107: Stat Introduction to Business and Financial Statistics Class 21: VaR and Resampling 1 Value at Risk Simply put, assume you have a \$1,000,000 portfolio (very cool! ) You ask: What is the probability that I'd lose \$X (OR MORE) over the next M months? More precisely, Value at Risk is an estimate of the worst possible loss an investment could realize over a given time horizon, under normal market conditions...

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