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14 point Current market price per unit Number of units held Total market value Historical volatility Asset A $50 100 $5.000 1.0% one day) Asset

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14 point Current market price per unit Number of units held Total market value Historical volatility Asset A $50 100 $5.000 1.0% one day) Asset B S100 100 $10,000 2.0% (one day) Calculate the day VaR p for a 10% confidence level assocorrotation between A and B LO 05

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