Value-at-Risk Theory and Practice

The first advanced book on value-at-risk

Chapter 3, Page 158
Exercise 44

Use the characteristic function [3.205] of the normal distribution and [3.203] to prove that, if and are independent, then

[3.208]

Solution

By [3.205]

[s1]
[s2]

By [3.203}

[s3]
[s4]
[s5]

which is the characteristic function of an random variable.

 
 

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