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Calculate the 1% 10-day VaR for a portfolio with value $80m which is expected to return the discount rate with a volatility of 20%. Assume
Calculate the 1% 10-day VaR for a portfolio with value $80m which is expected to return the discount rate with a volatility of 20%. Assume the returns follow i.i.d normal distribution, and there are 250 trading days in a year. You are given that 1(0.99)=2.3263 1 ( 0.99 ) = 2.3263 .
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