Change u from 160 to 150 in the application of EVT in Section 14.6. How does this

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Change u from 160 to 150 in the application of EVT in Section 14.6. How does this change the maximum likelihood estimates of and ? How does it change the one-day 99% VaR when the confidence limit is

(a) 99% and

(b) 99.9%.

AppendixLO1

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Risk Management And Financial Institutions

ISBN: 9781118269039

3rd Edition

Authors: John C. Hull

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Question Posted: Jul 27, 2024 02:01 AM

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In the application of EVT in Section 14.6, what is the one-day VaR with a confidence level of 97%? AppendixLO1
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Change u from 160 to 150 in the application of EVT in Section 14.6. How does this

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Risk Management And Financial Institutions

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