- 3 Suppose Loss Distribution Follows A N U 2 000 O2 20 000 Distribu Tion Annual Mean And Annual Variance 1 (20.72 KiB) Viewed 90 times
= = ) 3) Suppose loss distribution follows a N (u = 2,000, o2 = 20,000) distribu- tion (annual mean and annual variance)
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= = ) 3) Suppose loss distribution follows a N (u = 2,000, o2 = 20,000) distribu- tion (annual mean and annual variance)
= = ) 3) Suppose loss distribution follows a N (u = 2,000, o2 = 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.