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Sammy is modelling a portfolios maximum daily loss for the month using a (0, 0.5, 0) distribution. a) Name the subclass of this GEV distribution.

Sammy is modelling a portfolios maximum daily loss for the month using a (0, 0.5, 0) distribution.

a) Name the subclass of this GEV distribution.

b) Calculate the mean and the standard deviation of the distribution.

c) Find the probability that the maximum daily loss for the month is greater than 50%.

d) Find the 95% VaR for the distribution. e) Henry suggested that he wants to use a Reverse Weibull Distribution to model the maximum daily loss for the month. Do you agree with his suggestion? Explain your reasoning.

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