Value at Risk (VaRα)- Pareto distribution- Heavy tails (Quantitative Risk Management)

[tzav]

Let X be a Pareto distributed random variable.
a. Find VaRα(e^x) and VaRα(logX)
b. Does e^x have Heavy tails?
c. Does logX have Heavy tails?

Formula to start with is in the picture.

Thanks

 

[blamocur]

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[khansaheb]

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