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Compute the probability density function evaluated at var

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Extreme value theory (EVT): n = 1,000, u = 300, nu = 36, β = 18, and ξ = 0.25. First, calculate the 1-day VaR and 1-day ES with a 99.9% confidence level. Second, what is the probability of a loss greater than $650? Third, compute the probability density function evaluated at the VaR level for the probability distribution of the loss, conditional on it being greater than u

Reference no: EM132857079

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