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A portfolio has a 5 percent chance of losing 15 percent or more according to the VaR when T = 1. This can be interpreted
A portfolio has a 5 percent chance of losing 15 percent or more according to the VaR when T = 1. This can be interpreted to mean that the portfolio is expected to have an annual loss of 15 percent or more once in every how many years?
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15 | ||
20 | ||
40 | ||
100 |
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