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Define Fu() as the probability that the portfolio loss v lies between u and u+...

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Finance

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Define Fu() as the probability that the portfolio loss v lies between u and u+ conditional on v>u. Now take u as 95% VaR for this portfolio. Suppose Fu() can be expressed as the generalized Pareto distribution G,()=1[1+]1 with the parameters given by =0.2,=1. Then what is your estimate of the 97%VaR as a function of u

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