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Question

The probability density function (pdf) for daily profits at Rectangle Inc. can be described by the following

piecewise function,

p= 1/24 for−12≤π≤0

p= 1/20 for 0≤π≤+10


a) What is the one-day 95% VaR for Rectangle Inc.?

b) What is the one-day 95% ES for Rectangle Inc.? 

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