Suppose that a one-day 97.5% VaR is estimated as $13 million from 2,000 observations. The one-day changes

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Suppose that a one-day 97.5% VaR is estimated as $13 million from 2,000 observations. The one-day changes are approximately normal with mean zero and standard deviation $6 million. Estimate a 99% confidence interval for the VaR estimate.

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Risk Management And Financial Institutions

ISBN: 9781118269039

3rd Edition

Authors: John C. Hull

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Question Posted: Jul 27, 2024 02:01 AM

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Suppose that a one-day 97.5% VaR is estimated as $13 million from 2,000 observations. The one-day changes

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Risk Management And Financial Institutions

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