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2. A bank reports a daily 95% VAR as $15 million. Assuming daily and 10-day returns follow a normal distribution, the 99% 10-day VAR is
2. A bank reports a daily 95% VAR as $15 million. Assuming daily and 10-day returns follow a normal distribution, the 99% 10-day VAR is
(a) $15m
(b) $47m
(c) $212m
(d) $67m
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Contemporary Financial Management
Authors: R. Charles Moyer, James R. McGuigan, Ramesh P. Rao
14th edition
1337090581, 978-1337090582
