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In Chapter 4 Page 147, I see that it asked to find 97.5% VaR. We basically calculate Pr(X<t) = 0.025 and get t = -7.68%. Then according to the...
1. CT8, April 2012 Question 5 requires expressing E(-X|X<-VaR_a) in the integral form which the answer states to be -1/a int_-inf^VaR_a XF(X) dx...
Hi I am struggling with some of the concepts for a discrete variable with question 1, part (c) of part (ii). Here we are asked to find the 95%...