easy · Frm Part 2 Market Risk
What happens to the VaR estimate if we move from a thin-tailed (Gumbel, ξ = 0) model to a heavy-tailed (Fréchet, ξ > 0) model at very deep quantiles?
- The VaR estimate becomes zero
- The VaR estimate decreases
- The VaR estimate increases significantly
- The VaR estimate remains unchanged
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