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Episode 13: Value at Risk and Tail Risk
Value at Risk can be mathematically correct and still miss the loss that matters. This episode examines confidence levels, holding periods, fat tails and why stress testing belongs beside VaR.This episode is part of FX Options Daily, a 30-day themed season of The Trading Floor covering pricing, hedging, exotics, risk and institutional FX options practice.Full treatment: Chapter 13 of FX Options.Educational content only. Nothing in this episode constitutes investment advice.
The skinny
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