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A 1-day 97.5% VaR is estimated as $1 million from 2,520 observations. The daily changes are approximately normal with mean $0.5 million and standard deviation

A 1-day 97.5% VaR is estimated as $1 million from 2,520 observations. The daily changes are approximately normal with mean $0.5 million and standard deviation $2 million. Construct a 99% confidence in...

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