Solution-What is the standard error of the var estimate

What is the standard error of the var estimate

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Reference no: EM132899914

Suppose we estimate the one-day 95% VaR (in millions of dollars) from 963 observations as 5. By fitting a standard normal distribution to the observations, the probability density function of the loss distribution at the 95% point is estimated to be 0.01. What is the standard error of the VaR estimate?

Reference no: EM132899914

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What is the standard error of the var estimate : Suppose we estimate the one-day 95% VaR (in millions of dollars) from 963 observations as 5. By fitting a standard normal distribution to the observations

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What is the standard error of the var estimate

Reference no: EM132899914

Reference no: EM132899914

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