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1. Let X be a random variable denoting the rate of return on the fund BancABC. The distribution X is N(u, o"). (a) Define VaR (X), where a e [0, 1].

1. Let X be a random variable denoting the rate of return on the fund BancABC. The distribution X is N(u, o"). (a) Define VaR (X), where a e [0, 1].

Calculus For The Life Sciences
Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter13: Probability And Calculus
Section13.2: Expected Value And Variance Of Continuous Random Variables
Problem 14E
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QUESTIONS 1. Let X be a random variable denoting the rate of return on the fund BancABC. The distribution of X is N(4,0). (a) Define VaRa(X), where a e (0, 1). (b) Show that: VaR, = -(u + a*-(a)). where denotes the cumulative Normal distribution function. (IHint: Consider the probability that X is lesss than VaRa).
Transcribed Image Text:QUESTIONS 1. Let X be a random variable denoting the rate of return on the fund BancABC. The distribution of X is N(4,0). (a) Define VaRa(X), where a e (0, 1). (b) Show that: VaR, = -(u + a*-(a)). where denotes the cumulative Normal distribution function. (IHint: Consider the probability that X is lesss than VaRa).
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