Find the value-at-risk at the confidence level 95 that is


A bank has N ~Poi(1000) independent investments, each gives net profit distributed as Z - 1,

where Z ~Exp(1). Find the value-at-risk at the confidence level 95%, that is, the amount of capital the bank needs to have to buffer its possible losses with probability 95%

Solution Preview :

Prepared by a verified Expert
Business Management: Find the value-at-risk at the confidence level 95 that is
Reference No:- TGS02764730

Now Priced at $10 (50% Discount)

Recommended (98%)

Rated (4.3/5)