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Current market price per unit Number of units held Total market value Historical volatility Asset A $50 100 $5,000 1.0% (one day) Asset B $100

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Current market price per unit Number of units held Total market value Historical volatility Asset A $50 100 $5,000 1.0% (one day) Asset B $100 100 $10,000 2.0% (one day) Calculate the 5-day VaRA. VaRg and VaR pfor a 95% confidence level assuming a correlation of -1 between A and B. Show your steps. For the toolbar, press ALT+F10 (PC) or ALT+FN+F10 (Mac). BI V & Paragraph Arial 14px I v V

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