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Quantitative Finance · Glossário

O que é VaR exception?

Definition 21.14 Rates, Credit, XVA and Risk · Capítulo 21 — Market-Risk Measures

A VaR exception is a day on which the realised (or hypothetical) loss exceeds the VaR computed the day before. A correct 99% model has exceptions on 1% of days, independently.

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