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What is the standard error of the VaR estimate

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Question - Suppose we estimate the one-day 95% VaR from 1,200 observations as 6 (in millions of dollars). By fitting a standard distribution to the observations, the probability density function of the loss distribution at the 95% point is estimated to be 0.02. What is the standard error of the VaR estimate?

Reference no: EM132641546

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