The probability density function (PDF) for daily profits at Triangle Asset Management can be described by the following function: p = 1 1 + 2 -10 <<0 10 100 1 1 0<<<0 10 100 P What is the one-day 95% confidence level) VaR for Triangle Asset Manage- ment?
In a previous example, the probability density function of Triangle Asset Management's daily profits could be described by the following function: = 1 1 P + 2 - 10<x<0 10 100 1 1 P * 0 <<10 10 100 We calculated Triangle's one-day 95% VaR as a loss of 6.84. For the same confidence level and time horizon, what is the expected shortfall? = 1 ES VaR πρέπ =
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