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RDP 9708: Measuring Traded Market Risk: Value-At-Risk and Backtesting Techniques
Equation
L
R
=
−
2
ln
(
p
*
.
(
1
−
p
*
)
ν
−
1
p
˜
.
(
1
−
p
˜
)
ν
−
1
)
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