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The software that you use to fit the parameters of the distribution function ...
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The software that you use to fit the parameters of the distribution function of , uses the following formulas for the GEV, depending of the parameters :
if :
,
if :
.
What is the formula giving the VaR at of the random variable with respect to the parameters . Use the good formula depending on the value of .
67%
0%
0%
33%