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Given the following information about the recent portfolio returns and their conditional variance, please provide a 1% Value-at-Risk for tomorrow's return using the RiskMetric approach
Given the following information about the recent portfolio returns and their conditional variance, please provide a 1% Value-at-Risk for tomorrow's return using the RiskMetric approach with =0.99
time | return | conditional variance |
---|---|---|
yesterday | -0.0113 | 1.5E-5 |
today | 0.0025 |
Note that expression XE-Y should be read as X10-Y Please provide your answer in fractions of one (i.e. 5.36% as 0.0536)
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