Assume that the loss is characterized by the random variable L (taking values from 0 to...

 

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Assume that the loss is characterized by the random variable L (taking values from 0 to 10) with the following probability mass е 0 P(L = l) 0.000977 е 6 P(L = l) 0.205078 What is the 99.5% VaR? 1 0.009766 7 0.117188 2 3 0.043945 0.117188 8 9 0.043945 0.009766 4 5 0.205078 0.246092 10 0.000977 Assume that the loss is characterized by the random variable L (taking values from 0 to 10) with the following probability mass е 0 P(L = l) 0.000977 е 6 P(L = l) 0.205078 What is the 99.5% VaR? 1 0.009766 7 0.117188 2 3 0.043945 0.117188 8 9 0.043945 0.009766 4 5 0.205078 0.246092 10 0.000977

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To calculate the 995 Value at Risk VaR we need to determine the loss va... View the full answer