Understand why FHS VaR of index is much higher than that of the portfolio under stress.
See the paper at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3776455
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Understand why FHS VaR of index is much higher than that of the portfolio under stress.
See the paper at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3776455