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Compute a 1-day Value at Risk for a bond investment portfolio of K17 million in a long position assuming a 95% confidence interval if the
- Compute a 1-day Value at Risk for a bond investment portfolio of K17 million in a long position assuming a 95% confidence interval if the actual daily standard deviation of the portfolio over one year is 3.76%.
- Using the information above, compute the value at risk of a 1-month (30 days) for the investment holding all factors constant.
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Entrepreneurial Financial Management An Applied Approach
Authors: Jeffrey R Cornwall, David O Vang, Jean M Hartman
5th Edition
0367335417, 978-0367335410
