In the proceeding example, if instead of 17% and 14%, the two worst losses were 27% and

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In the proceeding example, if instead of 17% and 14%, the two worst losses were 27% and 24%, what would the one-day 99% VaR and expected shortfall be? Losses 3 through 12 in the table remain the same.

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Quantitative Financial Risk Management

ISBN: 9781119522201,9781119522263

1st Edition

Authors: Michael B. Miller

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Question Posted: Apr 16, 2024 07:00 AM

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In the proceeding example, if instead of 17% and 14%, the two worst losses were 27% and

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If we change only the two worst losses and the 10th worst los...View the full answer

Quantitative Financial Risk Management

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