The Mathematics of Value-at-Risk

Z = with expected value 0 and variance 1. The probability density function of the standard normal is f(z)= = . A result of the above is that solving P[aXb] is the same as solving P[Z]. This process of converting a and b can be thought as a “standardization.” is the Z-Score. for a, and is the . Z-Score. for b. ................
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