Question: Using financial math (8 points) Suppose that the random vector X = (X1, X2)' has dependence II and X; follow N(0, 1). Let L- =

Using financial math

(8 points) Suppose that the random vector X = (X1, X2)' has dependence II and X; follow N(0, 1). Let L- = X1 + X2 be the delta loss, calculate VaRo.95(LA).(a) (5 points) Calculate the copula of the vectors (Z - 1, 27 + 1)', (1 - Z, Z + 2)' and (Z + 2, 1)'.(7 points) Suppose that the random vector X = (X1, X2)' has dependence M and X; follow Exp(1). Let L- = X1 + X2 be the delta loss, calculate E50.95 (LA)

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Mathematics Questions!

Midterm #2 - Spring 2016 - PSTAT 109 May 20, 2016 Test Form B Name (Please Print) : Seat: Has the person sitting to YOUR RIGHT given you a valid photo ID that matches the one written on the top of...

Question 2. [26 marks] (a) [6 marks] Consider a p-dimensional random vector X where X-Np(0px1, [pxp). Answer the follow questions. (i) What is the distribution of X1 - 2X2, where X] and X2 are both...

Suppose that the random variable X has an exponential distribution with parameter ? > 0. (i) What are the probability density function, fX(x), and the probability distribution function, FX(x), for...

Answer all please. Advocates of financial modeling of product design projects argue that: Multiple Choice Financial analysis focuses on measurable quantities only. Financial analysis brings...

= m () Problem 3. Suppose that the daily log-returns X (X1, X2, X3)' of the stocks S1, S2, S3 follow 0.1 0.040 -0.012 -0.032 0 -0.012 0.090 0.024 -0.1 -0.032 0.024 0.160 At the period n = O the...

In a multiple linear regression analysis, (Vu X1i , *2i), i = 1,..., n, are statistically independent and satisfy the model (M1) given by: y = Bot Bix1+ Bzx2+ E, where the response variable y is...

Portray in words what transforms you would have to make to your execution to some degree (a) to accomplish this and remark on the benefits and detriments of this thought.You are approached to compose...

13. (3 points) Consider a scalar-valued random variable X that takes values {1,2,3,4} with probabilities Px(1) = 0.2, px (2) = 0.3, px(3) = 0.25, and px (4) = 0.25. Compute the mean and variance of...

Briefly describe ASCII and Unicode and draw attention to any relationship between them. [3 marks] (b) Briefly explain what a Reader is in the context of reading characters from data. [3 marks] A...

Suppose that R(A, B, C) is a relational schema with functional dependencies F = {A, B C, C B}. (i) Is this schema in 3NF? Explain. [2 marks] (ii) Is this schema in BCNF? Explain. [2 marks] (b)...

An automobile purchased for $22,000 is worth $2500 after 5 years. Assuming that the car's value depreciated steadily from year to year, what was it worth at the end of the third year?

AG Mechanical is planning to acquire Foster Metal works. Foster's cost of equity is 12%; it is financed 80% by common equity and the remainder by debt at 7%. Foster's tax rate is 30%. Below is a...

11 a Use a calculator to work out the answer to 7 Write all the numbers on your calculator display. Round your answer to part a to the stated number of significant figures (s.f.). b i 1 s.f. iv 4...

complete a case brief -thank you! Harry and Kay Robinson purchased a new Audi automobile from Seaway Volkswagen, Inc. (Seaway), in Massena, New York, in 1976. The following year the Robinson family,...

4. What is meant by the statement: We are extremely limited in our willingness to allow others to put their own case in a social situation?.

8. Give three examples of how the level of confidence one has in someone can affect a communication situation.

7. List examples from a communication situation with a foreign person in which you have used the sauna manoeuvre (described in this chapter), and examples where you have been subjected to the...