Question: The probability density function for an exponential distribution is e x
The probability density function for an exponential distribution is e−x where x is the value of the variable and is a parameter. The cumulative probability distribution is 1− e−x. Suppose that two variables V1 and V2 have exponential distributions with parameters of 1.0 and 2.0, respectively. Use a Gaussian copula to define the correlation structure between V1 and V2 with a copula correlation of –0.2. Produce a table similar to Table 11.3 using values of 0.25, 0.5, 0.75, 1, 1.25, and 1.5 for V1 and V2. A spreadsheet for calculating the cumulative bivariate normal distribution is on the author’s website: www-2.rotman.utoronto.ca/∼hul/riskman.
Answer to relevant QuestionsCreate an Excel spreadsheet to produce a chart similar to Figure 11.5 showing samples from a bivariate Student’s t-distribution with four degrees of freedom where the correlation is 0.5. Next suppose that the marginal ...Suppose that daily changes for a portfolio have first-order correlation with correlation parameter 0.12. The 10-day VaR, calculated by multiplying the one-day VaR by , is $2 million. What is a better estimate of the VaR ...Values for the NASDAQ composite index during the 1,500 days preceding March 10, 2006, can be downloaded from the author’s web site. Calculate the one-day 99% VaR and the one-day 99% ES on March 10, 2006, for a $10 million ...The calculations in Section 15.3 assume that the investments in the DJIA, FTSE 100, CAC 40, and Nikkei 225 are $4 million, $3 million, $1 million, and $2 million, respectively. How do the VaR and ES change if the investment ...A trader buys 200 shares of a stock on margin. The price of the stock is $20. The initial margin is 60% and the maintenance margin is 30%. How much money does the trader have to provide initially? For what share price is ...
Post your question