Suppose we estimate the 1-day 95% VaR from 1,000 observations as $5 million. By fitting a standard
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Suppose we estimate the 1-day 95% VaR from 1,000 observations as
$5 million. By fitting a standard distribution to the observations, the probability density function of the loss distribution at the 95% point is estimated to be 0.01 when losses are measured in millions. What is the standard error of the VaR estimate?
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