Question 2.and variance o² = 4.(a)(b)Assume a random loss X follows a normal distribution with mean =1Calculate the Value at Risk of X at the 95% level, i.e., VaRo.05(X).For a given constant c E IR, show that VaR,(X + c) = VaRp(X) +c for p E (0, 1).

To calculate the Value at Risk (VaR) of X at the 95% level, given that X follows a normal…

Answered: Question 2. and variance o² = (a) (b)…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Question 2. and variance o² = (a) (b) Assume a random loss X follows a normal distribution with mean μ = 1 = 4. Calculate the Value at Risk of X at the 95% level, i.e., VaRo.95 (X). For a given constant c ER, show that VaR₂(X + c) = VaR₂(X) +c for p = (0,1).