The market risk group at your firm has developed a value at risk (VaR) model. In Chapter we examine…

The market risk group at your firm has developed a value at risk (VaR) model. In Chapter we examine VaR models more closely. In the meantime, assume the probability of an exceedance event on any given day is 5%, and the probability of an exceedance event occurring on any given day is independent of an exceedance event having occurred on any previous day. What is the probability that there are two exceedances over 20 days?

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