Assume we are using an extreme value model to estimate VaR and cVaR of potential losses L with u = 300. We have estimated the EV parameters as € = 0.50 and ß = 60. Assume that n = 500 and n = 0.95. n a. Compute the 99 % VaR and cVaR b. Compute the 99.6% VaR and cVaR c. Compute the standard error of the 99 VaR estimated in part (a). d. Compute the standard error of the 99.6% VaR estimated in part (b).
Assume we are using an extreme value model to estimate VaR and cVaR of potential losses L with u = 300. We have estimated the EV parameters as € = 0.50 and ß = 60. Assume that n = 500 and n = 0.95. n a. Compute the 99 % VaR and cVaR b. Compute the 99.6% VaR and cVaR c. Compute the standard error of the 99 VaR estimated in part (a). d. Compute the standard error of the 99.6% VaR estimated in part (b).
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Transcribed Image Text:Assume we are using an extreme value model to estimate VaR and cVaR of potential losses L
with u = 300. We have estimated the EV parameters as e = 0.50 and ß = 60. Assume that n=
500 and ny = 0.95.
a. Compute the 99 % VaR and cVaR.
b. Compute the 99.6% VaR and CVAR.
c. Compute the standard error of the 99 VaR estimated in part (a).
d. Compute the standard error of the 99.6% VaR estimated in part (b).
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