3. Assume that the loss is given by L ~ N(14, o?). From historical data, based on a sample of size N = 100, we estimate j = 9 and a = 2.4. a) Estimate VaR 95 b) Estimate ES.95 c) Repeat a) and b), but assuming that L = ax + b, where X has a t-distribution with 10 degrees of freedom. (Hint: Recall that if Yt, with v > 2, then E[Y] = 0 and Var(Y) =) d) Now assume that we believe that = 0 and estimate an upper bound on VaR 95 without making any parametric assumption. What do we need to assume? 1 3. Assume that the loss is given by L ~ N(14, o?). From historical data, based on a sample of size N = 100, we estimate j = 9 and a = 2.4. a) Estimate VaR 95 b) Estimate ES.95 c) Repeat a) and b), but assuming that L = ax + b, where X has a t-distribution with 10 degrees of freedom. (Hint: Recall that if Yt, with v > 2, then E[Y] = 0 and Var(Y) =) d) Now assume that we believe that = 0 and estimate an upper bound on VaR 95 without making any parametric assumption. What do we need to assume? 1