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A financial institution measures market risk using the historical simulation method with EWMA-adjusted volatilities. The current 10-day return volatility of its trading portfolio is estimated
A financial institution measures market risk using the historical simulation method with EWMA-adjusted volatilities. The current 10-day return volatility of its trading portfolio is estimated to be 2.41%. What would be the volatility-adjusted 10-day return for a trading day within the sample period when the trading portfolio had a 10-day return of -3.38% and an estimated 10-day return volatility of 2.54%?
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