Question
X and Y are independent risks. If X occurs you lose 2.000 TL, if Y occurs you lose 50.000 TL: If there is no other
X and Y are independent risks. If X occurs you lose 2.000 TL, if Y occurs you lose 50.000 TL: If there is no other risk, what is VaR at 95% confidence level with the following probabilities:
a) P(X)= 8%, P(Y)= 1%: Answer: -2.000
b) P(X)= 8%, P(Y)= 6%: Answer: -50.000
c) P(X)= 20%, P(Y)= 6%: Answer: -50.000
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Personal Finance Turning Money Into Wealth
Authors: Arthur J. Keown
1st Edition
1269891472, 9781269891479
