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Suppose that a one-day 99% VaR is estimated as $10 million from 200 observations. The one-day changes are approximately normal with mean zero and
Suppose that a one-day 99% VaR is estimated as $10 million from 200 observations. The one-day changes are approximately normal with mean zero and standard deviation 6.5 million. What is the 95% confidence interval for the VaR estimate?
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To calculate the 95 confidence interval for the Value at Risk VaR estimate based on a oneday 99 VaR ...
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Risk Management and Financial Institutions
Authors: Hull John
4th edition
1118955943, 978-1118955949
