Value-at-Risk Theory and Practice

The first advanced book on value-at-risk

Chapter 3, Page 140
Exercise 32

Suppose X ~ (1.1, .0625). Use a standard normal table to determine Pr(X .9).

Solution

We have the mean and standard deviation of X as = 1.1 and = 0.25. By [3.91] and [3.92], we calculate m = .070 and s = .224. Accordingly, X = exp(.224Z + .070), where Z ~ N(0,1). Denote the CDFs of X and Z as and . Then

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