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A bank has invested $100M in an investment whose annual standard deviation is 0.2. Compute the 1% VaR of this position at the daily horizon.

A bank has invested $100M in an investment whose annual standard deviation is 0.2. Compute the 1% VaR of this position at the daily horizon. Assume there are 252 trading days in a year. Enter your answer as a positive number to the second digit after the decimal point

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