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156. Let U and U2 be uniform random variables on [0,1]. The T and T be discrete random variables with the following common distribution
156. Let U and U2 be uniform random variables on [0,1]. The T and T be discrete random variables with the following common distribution P(T = 0) = 0.99, P(T = 1) = 0.01. Suppose that U1, U2, T, and T are independent. Let X = U + T + U2 + T2. Calculate VaR0.99(X).
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Linear Algebra and Its Applications
Authors: David C. Lay
4th edition
321791541, 978-0321388834, 978-0321791542
