c is any number, so cVaR does
not mean conditional value at risk
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c is any number, so cVaR does
not mean conditional value at risk
Q1. Assume that...
c can be any number, cVaR does not mean conditional value at risk. Hence, please just...
c can be any number, cVaR does
not mean conditional value at risk. Hence, please just prvoe the
positively homogeneous property of VaR.
Q1. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function Fx and density fx, and let c>O. Verify that for the Value-at-Risk we have VaR,x (p) = cVaRx (p)
Q1. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function...
Q1. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function Fx and density fx, and let c>O. Verify that for the Value-at-Risk we have VaR,x (p) = cVaRx (p)
Q1. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function...
Q1. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function F and density f. Let b>0. (a) Write the forinula for E(X b)+1. (b) Apply the general formula from (a) to exponential distribution with parameter λ > 0.
Q2. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function...
Q2. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function Fx Let b> 0. (a) Find the cumulative distribution function of Y = XI(X < b} (b) Apply the general formula from (a) to exponential distribution with parameter λ > 0.
Q3. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function...
Q3. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function Fx Let b>0 (a) Find the cumulative distribution function of Y- (X -b)+ (b) Apply the general formula from (a) to Pareto distribution with parameter a > 0. Hint: Consider separately cases b e (0, 1] and b> 1.
Assume X is normally distributed with a mean of 7 and a standard deviation of 2....
Assume X is normally distributed with a mean of 7 and a standard deviation of 2. Determine the value for x that solves each of the following Round the answers to 2 decimal places. a) P(X >x) = 0.5 b) P(X > x) = 0.95
Let X, Y, and Z be jointly continuous random variables. Assume that all conditional PDFs and...
Let X, Y, and Z be jointly continuous random variables. Assume
that all conditional PDFs and expectations are well defined. E.g.,
when conditioning on X=x, assume that x is such that fx(x)>0.
For each one of the following formulas, state whether it is true
for all choices of the function g or false (i.e., not true for all
choices of g).
Let X, Y, and Z be jointly continuous random variables. Assume that all conditional PDFs and expectations are well...
Q2. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function...
Q2. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function Fx. Let b > 0 a) Find the cumulative distribution function ofY -XKX< (b) Apply the general formula fron (a) to exponential distribution with parameter > 0.
12.5A e 2 Suppose that A has a Gamma distribution: fA(A) 「3.5)23.5 (a) Suppose that the...
12.5A e 2 Suppose that A has a Gamma distribution: fA(A) 「3.5)23.5 (a) Suppose that the conditional distribution of X given Λ = λ is fxA(TA z ) e- for x > 0. i. Find Ex ii. Find Var( (b) Suppose that the conditional distribution of X given A = λ is frA (zA)-Xe-k for x > 0. Find the unconditional probability density function fx(x) of *
Q3. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function...
Q3. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function Fx Let b> o. (a) Find the cumulative distribution function of Y = (X-b)+ b) Apply the general formula from (a) to Pareto distribution with parameter a > 0. Hint: Consider separately cases b e (0, 1 and b> 1
c can be any number, cVaR does
not mean conditional value at risk. Hence, please just prvoe the
positively homogeneous property of VaR.
Q1. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function Fx and density fx, and let c>O. Verify that for the Value-at-Risk we have VaR,x (p) = cVaRx (p)
Q1. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function Fx and density fx, and let c>O. Verify that for the Value-at-Risk we have VaR,x (p) = cVaRx (p)
Q1. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function F and density f. Let b>0. (a) Write the forinula for E(X b)+1. (b) Apply the general formula from (a) to exponential distribution with parameter λ > 0.
Q2. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function Fx Let b> 0. (a) Find the cumulative distribution function of Y = XI(X < b} (b) Apply the general formula from (a) to exponential distribution with parameter λ > 0.
Q3. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function Fx Let b>0 (a) Find the cumulative distribution function of Y- (X -b)+ (b) Apply the general formula from (a) to Pareto distribution with parameter a > 0. Hint: Consider separately cases b e (0, 1] and b> 1.
Assume X is normally distributed with a mean of 7 and a standard deviation of 2. Determine the value for x that solves each of the following Round the answers to 2 decimal places. a) P(X >x) = 0.5 b) P(X > x) = 0.95
Let X, Y, and Z be jointly continuous random variables. Assume
that all conditional PDFs and expectations are well defined. E.g.,
when conditioning on X=x, assume that x is such that fx(x)>0.
For each one of the following formulas, state whether it is true
for all choices of the function g or false (i.e., not true for all
choices of g).
Let X, Y, and Z be jointly continuous random variables. Assume that all conditional PDFs and expectations are well...
Q2. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function Fx. Let b > 0 a) Find the cumulative distribution function ofY -XKX< (b) Apply the general formula fron (a) to exponential distribution with parameter > 0.
12.5A e 2 Suppose that A has a Gamma distribution: fA(A) 「3.5)23.5 (a) Suppose that the conditional distribution of X given Λ = λ is fxA(TA z ) e- for x > 0. i. Find Ex ii. Find Var( (b) Suppose that the conditional distribution of X given A = λ is frA (zA)-Xe-k for x > 0. Find the unconditional probability density function fx(x) of *
Q3. Assume that X is a continuous and nonnegative random variable with the cumulative distribution function Fx Let b> o. (a) Find the cumulative distribution function of Y = (X-b)+ b) Apply the general formula from (a) to Pareto distribution with parameter a > 0. Hint: Consider separately cases b e (0, 1 and b> 1
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