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Problem 5.4(19.26 in Hull) Assume that the daily Profit-and-Loss (PnL) are independent and identically distributed, and they can exceed the risk limit Qmax with probability
Problem 5.4(19.26 in Hull) Assume that the daily Profit-and-Loss (PnL) are independent and identically distributed, and they can exceed the risk limit Qmax with probability p= 5%. (i) What is the probability that the limit will be exceeded 10 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)? Problem 5.4(19.26 in Hull) Assume that the daily Profit-and-Loss (PnL) are independent and identically distributed, and they can exceed the risk limit Qmax with probability p= 5%. (i) What is the probability that the limit will be exceeded 10 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)
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