The volatility-updating procedure in Section 14.3 gives the one-day 99% VaR equal to $602,968. Use the spreadsheets

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The “volatility-updating” procedure in Section 14.3 gives the one-day 99%

VaR equal to $602,968. Use the spreadsheets on the author’s website to calculate the one-day 99% VaR when the parameter in this procedure is changed from 0.94 to 0.92.

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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 volatility-updating procedure in Section 14.3 gives the one-day 99% VaR equal to $602,968. Use the spreadsheets

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Risk Management And Financial Institutions

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