Value-at-Risk Theory and Practice

The first advanced book on value-at-risk

Chapter 3, Page 133
Exercise 24

Suppose V ~ where the region is indicated in Exhibit 3.13.

a. Is component V1 marginally uniformly distributed?

b. Is component V2 marginally uniformly distributed?

c. Are components V1 and V2 independent?

Solution

a. Yes, V1 ~ U(–2,2).

b. No. V2 has the probability density function graphed below

c. No. There is a clear dependence between the two components.
 

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