Dear all, I am preparing a presentation to demonstate why Value-at-Risk (VaR) is not a good measure for Risk. Basically, my intention is to show that: For 2 drastically different distributions, the VaR (i.e. 5th percentiles) can be just same. Can somebody help me to find such drastically different two statistical distributions which have same 5th percentile? Thanks for your help.
A question on VaR
2 messages · Christofer Bogaso, Nick
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