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shen000
10-08-2009, 08:25 PM
You are calculating difference between VaR_0.99(x) and VaR_0.95(x),
but the question is asking for VaR_0.99(x) and TVaR_0.95(x),
The correct answer should be: 609.44
Abraham Weishaus
10-08-2009, 10:32 PM
Have you checked the errata? I preferred to change the question.