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Cumulative distribution function. While the PDF gives the probability density of each value of a random variable, the CDF (often denoted $F(x)$) gives the probability that the random variable will be less than or equal to a specified value.

2 votes

Inverse CDF of normal variable

The author should not have denoted variance as sigma. Sigma traditionally is standard deviation, so that's confusing. The VaR formula is just a scaling. subtracting the mean aligns the mean of the no …
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