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Question 5 Suppose we estimate the one-day 97.5% VaR from 1,100 observations as 5 (in millions of dollars). By fitting a standard distribution to the
Question 5 Suppose we estimate the one-day 97.5% VaR from 1,100 observations as 5 (in millions of dollars). By fitting a standard distribution to the observations, the probability density function of the loss distribution at the 97.5% point is estimated to be 0.04. a) The standard error of the VaR estimate is ___________million.
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