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