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5. Risk measures We defined the VaR of a portfolio with time t value of V, as Vo - F-(1 - p) and the PFE

5. Risk measures We defined the VaR of a portfolio with time t value of V, as Vo - F-(1 - p) and the PFE of the portfolio as F-'(p), where F(X) is the CDF of the future portfolio values: F (X) = PIV

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