13. In the preceding problem, suppose the distribution of returns is not normal but Student's t with 5 degrees of freedom. What is the 99% VaR under the new assumption? What happens to the VaR when the t distribution has 20 degrees of freedom instead? Explain the difference in results.
We need at least 10 more requests to produce the solution.
0 / 10 have requested this problem solution
The more requests, the faster the answer.