Just the manual solution, please.Thank you!Assume we are using an extreme value model to estimate VaR and cVaR of potential losses Lwith u = 300. We have estimated the EV parameters as e = 0.50 and B 60. Assume that n =500 and nu = 0.95.a. Compute the 99 % VaR and cVaR.b. Compute the 99.6% VaR and cVaRc. Compute the standard error of the 99 VaR estimated in part (a).d. Compute the standard error of the 99.6% VaR estimated in part (b).

a. For a 99% VaR, the threshold value z is given by the inverse cumulative distribution function…

Assume we are using an extreme value model to estimate VaR and cVaR of potential losses L with u = 300. We have estimated the EV parameters as € = 0.50 and ß = 60. Assume that n = 500 and nu = 0.95. n a. Compute the 99 % VaR and cVaR. b. Compute the 99.6% VaR and cVaR c. Compute the standard error of the 99 VaR estimated in part (a). Compute the standard error of the 99.6% VaR estimated in part (b). d.

Assume we are using an extreme value model to estimate VaR and cVaR of potential losses L with u = 300. We have estimated the EV parameters as € = 0.50 and ß = 60. Assume that n = 500 and nu = 0.95. n a. Compute the 99 % VaR and cVaR. b. Compute the 99.6% VaR and cVaR c. Compute the standard error of the 99 VaR estimated in part (a). Compute the standard error of the 99.6% VaR estimated in part (b). d.

Essentials of Business Analytics (MindTap Course List)

2nd Edition

ISBN:9781305627734

Author:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Publisher:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Chapter15: Decision Analysis

Section: Chapter Questions

Problem 6P

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