Value-at-Risk Theory and Practice

The first advanced book on value-at-risk

Chapter 3, Page 156
Exercise 42

To gain insight into the last exercise, use your intuition to sketch the PDFs of:

a. a U(–10, 10) random variable;

b. a sum of a U(–10, 10) and 1 independent U(–1, 1) random variables;

c. a sum of a U(–10, 10) and 2 independent U(–1, 1) random variables;

d. a sum of a U(–10, 10) and 3 independent U(–1, 1) random variables.

Solution

 

 

 

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