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What is the loss that has a chance of being exceeded

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Reference no: EM132623243

The probability that the loss from a portfolio will be greater than $8 million in one month is estimated to be 5%.

  1. What is the loss that has a 1% chance of being exceeded, assuming the change in value of the portfolio is normally distributed with zero mean?
  2. What is the loss that has a 1% chance of being exceeded, assuming that the power law applies with α = 3?

Reference no: EM132623243

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