Question
Question 4 Tom is modeling the maximum daily loss in any month for shares of WBC. He believes this maximum loss follows a (0.04,0.025, 0.02)
Question 4
Tom is modeling the maximum daily loss in any month for shares of WBC. He believes this maximum loss follows a (0.04,0.025, 0.02) distribution.
a) Write down the CDF for this distribution and clearly state what this function represents. Also, calculate the mean and variance of under Toms model. Clearly state any values of the Gamma function that are used in your model.
b) Using part a) or otherwise, calculate the 2% VaR for . Show all relevant calculation steps.
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Financial Statement Analysis
Authors: Martin S. Fridson, Fernando Alvarez
5th Edition
1119457149, 978-1119457145
