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As a portfolio manager for Citicorp, you want to estimate how much your portfolio might be losing over the next 36 trading days. Suppose the

As a portfolio manager for Citicorp, you want to estimate how much your portfolio might be losing over the next 36 trading days. Suppose the portfolio has a value of $30 million and the daily volatility of 1%. What is the volatility over a 36 day period? What is the VaR over a 36 day time period at a 99% confidence level?

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