Hello,
I am struggling to find an approach to the following:
Probability density function of the daily portfolio loss L:
How to calculate VaR and Tail VaR with a confidence level of 0.95?
Can someone help please?
Thank you
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.