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Suppose we estimate the one-dat 95% VaR from 1,200 observations as 6 (in millions of dollars). By fitting a standard distribution to the observation, the
Suppose we estimate the one-dat 95% VaR from 1,200 observations as 6 (in millions of dollars). By fitting a standard distribution to the observation, the probability density function of the lost distribution at the 95% point is estimated to be 0.02. What is the standard error of the estimate?
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