Question
If your portfolio margin requirement is 40%, and the initial margin is 70%. Assume that the portfolio daily return follows a normal distribution with a
If your portfolio margin requirement is 40%, and the initial margin is 70%. Assume that the portfolio daily return follows a normal distribution with a mean equal to 12%, and a standard deviation equal to 18%, what is the daily VaR at 5%?
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The Economics Of Money Banking And Financial Markets
Authors: Frederic S. Mishkin
12th Global Edition
1292268859, 978-1292268859
