The Bank of Canberras stock portfolio has a market value of $250 million The beta of the portfolio approximates the market portfolio, whose standard deviation (m ) has been estimated at 2 25 per cent What are the five day VaR and ES of this portfolio using adverse rate changes in the 99th percentil...

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The Bank of Canberras stock portfolio has a market value of $250 million. The beta of the

Question:

The Bank of Canberra’s stock portfolio has a market value of $250 million. The beta of the portfolio approximates the market portfolio, whose standard deviation (σm ) has been estimated at 2.25 per cent. What are the five-day VaR and ES of this portfolio using adverse rate changes in the 99th percentile? LO 9.7

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