Assume that the daily Profit-and-Loss (PnL) are independent and identically distributed, and they can exceed the risk
Fantastic news! We've Found the answer you've been seeking!
Question:
Assume that the daily Profit-and-Loss (PnL) are independent and identically
distributed, and they can exceed the risk limit
Q max
with probability
p = 5%.
(i) What is the probability that the limit will be exceeded 8 days in one
year (252 days) ?
(ii) What is the average number of times the risk limit will be exceeded
in one year (252 days)?
Related Book For
An Introduction to Measure Theoretic Probability
ISBN: 978-0128000427
2nd edition
Authors: George G. Roussas
Posted Date: