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))....

QUESTIONS<br>1. Let X be a random variable denoting the rate of return on the fund BancABC. The distribution of<br>X is N(4,0).<br>(a) Define VaRa(X), where a e (0, 1).<br>(b) Show that:<br>VaR, = -(u + a*-(a)).<br>where denotes the cumulative Normal distribution function.<br>(IHint: Consider the probability that X is lesss than VaRa).<br>

Extracted 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).

Jun 07, 2022

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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))....

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