3. Assume that the loss is given by L~ N(u, o2). From historical data, based on...
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3. Assume that the loss is given by L~ N(u, o2). From historical data, based on a sample of size N = 100, we estimate = .9 and ô = 2.4. a) Estimate VaR.05- b) Estimate ES.05- c) Repeat a) and b), but assuming that L = ax + b, where X has a t-distribution with 10 degrees of freedom. (Hint: Recall that if Y t, with > 2, then E[Y] = 0 and Var(Y) = 2.) 2 3. Assume that the loss is given by L~ N(u, o2). From historical data, based on a sample of size N = 100, we estimate = .9 and ô = 2.4. a) Estimate VaR.05- b) Estimate ES.05- c) Repeat a) and b), but assuming that L = ax + b, where X has a t-distribution with 10 degrees of freedom. (Hint: Recall that if Y t, with > 2, then E[Y] = 0 and Var(Y) = 2.) 2
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This question relates to estimating risk measures for a loss distribution specifically Value at Risk VaR and Expected Shortfall ES also known as Conditional Value at Risk CVaR Lets take this step by s... View the full answer
Related Book For
Statistics Unlocking The Power Of Data
ISBN: 9780470601877
1st Edition
Authors: Robin H. Lock, Patti Frazer Lock, Kari Lock Morgan, Eric F. Lock, Dennis F. Lock
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