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An asset has a daily vol of 2% and is normally distributed. (1). What is the 10 day 5% VaR of $10MM invested in this
An asset has a daily vol of 2% and is normally distributed.
(1). What is the 10 day 5% VaR of $10MM invested in this asset?
Another asset has a daily vol of 3%.
(2). What is the 10 day 5% VaR of $10MM invested in this asset?
The 2 assets have 5% correlation
(3). What is the 10 day 5% VaR of $10MM invested in each asset?
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