... ca li sut : -1 ,64 0,03 = -0 ,0492. Suy ra VaR ca danh mc: t, 5%) = VaRLi sutt = (- 0,0492)*100 = - 4,92. Vy sau mt ... Lix r x Vx. - )100% ) = P&L + N -1 ()P&L = P&L + N -1 (x)1/2 (2.4) Vi chu k i lng P&L ... Harmantzis, Linyan Miao, Yifan Chien, Empirical Study of Value-at-Risk and Expected Shortfall Models with Heavy Tails, Working Paper - Financial Analytics Group, Stevens Institute of Technology,...