Question

The probability that the loss from a portfolio will be greater than $10 million in one month is estimated to be 5%.
(a) What is the one-month 99% VaR assuming the change in value of the portfolio is normally distributed with zero mean?
(b) What is the one-month 99% VaR assuming that the power law applies with a = 3?


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  • CreatedJuly 30, 2015
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