Value-at-Risk Theory and Practice

The first advanced book on value-at-risk

Chapter 3, Page 116
Exercise 11

Consider the two-dimensional discrete random vector Q with PF

[3.25]

Calculate .

Solution

 

[s1]

Accordingly, we should first calculate and . This will enable us to calculate and . Then we can calculate . From [3.25], we determine the marginal PFs:

[s2]

and

[s3]

From these and definitions [3.3] and [3.7], we calculate:

[s4]

[s5]

[s6]

[s7]

We calculate the numerator of [s1] as

[s8]

We obtain

[s9]

 

 

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