Suppose we estimate the one-day 95% VaR (in millions of dollars) from 1,000 observations as 5. By
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Suppose we estimate the one-day 95% VaR (in millions of dollars) from 1,000 observations as 5. By fitting a standard distribution to the observations, the probability density function of the loss distribution at the 95% point is estimated to be 0.01. What is the standard error of the VaR estimate?
Market Risk VaR: The Historical Simulation Approach 321 AppendixLO1
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