The one-day 99% VaR is calculated in Section 14.1 as $253,385. Look at the underlying spreadsheets on

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The one-day 99% VaR is calculated in Section 14.1 as $253,385. Look at the underlying spreadsheets on the author’s website and calculate

(a) the one-day 95% VaR and

(b) the one-day 97% VaR.

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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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The one-day 99% VaR is calculated in Section 14.1 as $253,385. Look at the underlying spreadsheets on

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Risk Management And Financial Institutions

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