Problemsuppose that a 1 day 975 var is estimated as 13, Ask an Expert

Accounting

Problem:

Suppose that a 1 day 97.5% VaR is estimated as $13 million from 2000, observations. The 1-day changes are approximately normal with a mean of 0 and standard deviation of $6 million.

Required:

Question: Estimate a 99% confidence interval for the VaR estimate.

Note: Explain in detail and show all computations in proper way.

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Accounting Basics, Accounting

Category:- Accounting Basics
Reference No.:- M91170190

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