2. Assume that the loss L has a t-distribution with 10 degrees of freedom. This means...

 

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2. Assume that the loss L has a t-distribution with 10 degrees of freedom. This means that its density is given by f₁(x) = K (1+ 2²/10)-11/2 where K c. Find ES 05- 315 256 10 is a normalizing constant. a. Find VaR.05. b. Show that the expected shortfall is given by 10 ESK (1+ (VaR)²/10)-9/2 9a 2. Assume that the loss L has a t-distribution with 10 degrees of freedom. This means that its density is given by f₁(x) = K (1+ 2²/10)-11/2 where K c. Find ES 05- 315 256 10 is a normalizing constant. a. Find VaR.05. b. Show that the expected shortfall is given by 10 ESK (1+ (VaR)²/10)-9/2 9a

Answer rating: 100% (QA)

This problem involves the use of the tdistribution and concepts from financial risk management such as Value at Risk VaR and Expected Shortfall ES a T... View the full answer