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Consider a long position of $10 million in a stock index. The estimated standard deviation is 1.50% per trading day from 450 samples. We estimate

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Consider a long position of $10 million in a stock index. The estimated standard deviation is 1.50% per trading day from 450 samples. We estimate the daily VaR at 99% confidence level to be $348,900 based on Delta-Normal Method. What is the confidence band around the estimated VaR at 95% confidence level

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