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A stock portfolio has a beta of 4 with respect to an equity index risk factor. The 1% annual equity VaR of the portfolio is
A stock portfolio has a beta of 4 with respect to an equity index risk factor. The 1% annual equity VaR of the portfolio is $15,000. What is the 1% 10-day VaR of the index? Assume both the index and portfolio have zero discounted expected return.
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International Finance The Markets And Financial Management Of Multinational Business
Authors: Maurice D. Levi
3rd Edition
0070376875, 978-0070376878
