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A US investor buys $2m of shares in a portfolio of UK stocks and the portfolios equity beta is 1.5. Suppose the FTSE 100 and

A US investor buys $2m of shares in a portfolio of UK stocks and the portfolios equity beta is 1.5.

Suppose the FTSE 100 and $/ volatilities are 15% and 20% respectively, and their correlation is 0.3.

What is the 1% 10-day systematic VaR in US dollars, based on the normal VaR model? Express your answer in both % and $ terms.

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