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Intermediate
A bank values a portfolio with a Student-t return assumption instead of normal returns. The degrees of freedom estimate is low. What should a 99% tail-risk report generally show relative to normal VaR with the same variance?
A lower loss estimate because the mean is unchanged.
No change because variance fully determines all quantiles.
A zero VaR because Student-t returns are symmetric.
A higher loss estimate because the distribution has fatter tails.
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