Value-at-Risk Theory and Practice

The first advanced book on value-at-risk

Chapter 3, Page 140
Exercise 28

Suppose X ~ N(5, 7). Use a standard normal table to determine Pr(X 8).

 

Solution

Let Z ~ N(0,1).

[s1]
[s2]
[s3]
[s4]
[s5]

 
 

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