3) Suppose loss distribution follows a N(u = 2,000,02 = 20,000) distribu- tion (annual mean and annual variance) Find th
Posted: Fri Nov 26, 2021 8:26 am
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.