Meaning Variance-covariance
What does Variance-covariance mean? Here you find 2 meanings of the word Variance-covariance. You can also add a definition of Variance-covariance yourself
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Variance-covarianceA model to calculate Value at Risk, assuming that changes in risk factors are normally distributed jointly and that the change in portfolio value is linearly dependent on all risk factor changes.
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Variance-covarianceLinear value-at-risk (VaR).
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