Question
Define the c%-VaR to be the value |v| such that there is only a c% chance that the loss from an investment will be greater
Define the c%-VaR to be the value |v| such that there is only a c% chance that the loss from an investment will be greater than c.
a). Derive a formula for 5%-VaR on an investment with gain G that is normally distributed with mean mu and standard deviation sigma.
b). If G has mean mu = 15 and sigma = 1.8, compute the 5%-VaR on this investment.
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Entrepreneurial Finance
Authors: J. Chris Leach, Ronald W. Melicher
6th edition
1305968352, 978-1337635653, 978-1305968356
