The probability that the loss from a portfolio will be greater than $10 million in one month

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The probability that the loss from a portfolio will be greater than $10 million in one month is estimated to be 5%.

(a) What is the one-month 99% VaR assuming the change in value of the portfolio is normally distributed with zero mean?

(b) What is the one-month 99% VaR assuming that the power law applies with = 3?

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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 02:00 AM

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The probability that the loss from a portfolio will be greater than $10 million in one month

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Risk Management And Financial Institutions

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