Q.4000 For the standardized Gumbel, determine the 5% quantile, 95% quantile and the 99% quantile, respectively. | Financial Risk Manager Part 2 Quiz - LeetQuiz
Financial Risk Manager Part 2
Explanation:
First recall that for the standardized Gumbel, μ=0, σ=1
x=μ−σln[−ln(p)]
The 5% quantile is: $0 - (1) \ln\left[-\ln(0.05)\right] = -1.0972The950- (1) \ln\left[-\ln(0.95)\right] = 2.9702$ The 99% quantile is:0‘−(1)ln[−ln(0.99)]=4.6001
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Q.4000 For the standardized Gumbel, determine the 5% quantile, 95% quantile and the 99% quantile, respectively.