Exam FAM Practice Question 6
Study guide: Exam FAM
The annual loss X on a portfolio follows a two-parameter Pareto distribution with \alpha = 3 and \theta = 2{,}000.
Calculate the tail value at risk of X at the 95% security level, \text{TVaR}_{0.95}(X).
- A) 2,714
- B) 3,429
- C) 4,429
- D) 5,238
- E) 6,143
Answer this question and see the worked solution