Briefly explain what is the EVT approach to calculate VaR.
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Briefly explain what is the EVT approach to calculate VaR.
2. For a given portfolio we use 482 price changes of an asset to fit the EV distribution above. Suppose that there are 36 scenarios in which the loss is greater than £184. The fitted parameters of the above distribution are β = 34.53 and ξ = 0.38. What is the 1-day VaR with a 97% confidence limit? What is the corresponding value of the Expected Shortfall?
Related Book For
International Economics
ISBN: 978-1429278447
3rd edition
Authors: Robert C. Feenstra, Alan M. Taylor
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