An operational risk analyst is using the POT methodology to estimate VaR. Parameters are provided in the following tables: Loss threshold (%) μ. = 2 Number of observations N = 1000 Observations in excess of the threshold n = 9 Scale parameter β = 0.85 Shape parameter (tail index) = 0.3 - Calculate VaR at the 99% confidence level.
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An operational risk analyst is using the POT methodology to estimate VaR. Parameters are provided in the following tables:
Loss threshold (%) |
μ. = 2 |
Number of observations |
N = 1000 |
Observations in excess of the threshold |
n = 9 |
Scale parameter |
β = 0.85 |
Shape parameter (tail index) = 0.3
- Calculate VaR at the 99% confidence level.
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