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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?
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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Fundamentals of Corporate Finance
Authors: Robert Parrino, David S. Kidwell, Thomas W. Bates
3rd edition
1118845897, 978-1118845899
