Value-at-Risk Theory and Practice

The first advanced book on value-at-risk

Chapter 3, Page 151
Exercise 38

Calculate the mean and standard deviation of the random variable Y of the previous exercise.

Solution

Based upon our work from the previous exercise and formula [3.167], calculate

By [3.169] and [3.170]

Applying the result of Exercise 3.15, the standard deviation of Y is

[s1]

 
 

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