Question
Hey guys I need help with starting this problem: Suppose X is a normal with zero mean and standard deviation of $10 million. a) Find
Hey guys I need help with starting this problem:
Suppose X is a normal with zero mean and standard deviation of $10 million.
a) Find the value at risk for X for the risk tolerances h=0.01, 0.02, 0.05, 0.10, 0.50, 0.60, and 0.95.
b) Is there a relation between VaR for values of h <= 0.50 and values for h>= 0.50?
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Financial Markets and Institutions
Authors: Frederic S. Mishkin, Stanley G. Eakins
5th edition
321280299, 321280296, 978-0321280299
