3) Suppose loss distribution follows a N(u = 2,000,02 = 20,000) distribu- tion (annual mean and annual variance) Find th

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3) Suppose loss distribution follows a N(u = 2,000,02 = 20,000) distribu- tion (annual mean and annual variance) Find th

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3 Suppose Loss Distribution Follows A N U 2 000 02 20 000 Distribu Tion Annual Mean And Annual Variance Find Th 1
3 Suppose Loss Distribution Follows A N U 2 000 02 20 000 Distribu Tion Annual Mean And Annual Variance Find Th 1 (8.96 KiB) Viewed 88 times
3) Suppose loss distribution follows a N(u = 2,000,02 = 20,000) distribu- tion (annual mean and annual variance) Find the VaR with 95% 98% and 99% confidence levels for time horizons two days and two weeks. HINT: One year is equal to 225 working days.
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