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African Bank Limited, a retail bank based in Midrand, South Africa, employs a Value at Risk ( VaR ) model to estimate potential losses in
African Bank Limited, a retail bank based in Midrand, South Africa, employs a Value at Risk VaR model to estimate potential losses in its investment portfolio over a twoyear period with a confidence level. As an expert risk consultant, illustrate the importance of this model and describe the different methodologies that can be used for its calculation, providing relevant examples to support your explanation.
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