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Roy is modelling the maximum daily loss in any month for shares in Reynholm Industries. He...

Roy is modelling the maximum daily loss in any month for shares in Reynholm Industries. He believes this maximum loss ? follows a ???(0.03,0.02, −0.015) distribution.

a) (C) Write down the CDF for this distribution and clearly state what this function represents. Also, calculate the mean and variance of ? under Roy’s model. Clearly state any values of the Gamma function that are used in your model.

b) (C) Using part a) or otherwise, calculate the 10% VaR for ?. Show all relevant calculation steps.

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