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NAB shares have a monthly average return of 1% and a monthly return standard deviation of 5%. Returns are assumed to be normally distributed. Calculate
NAB shares have a monthly average return of 1% and a monthly return standard deviation of 5%. Returns are assumed to be normally distributed.
- Calculate the stocks Value-at-Risk (VaR) at the 95% level over the 1 month horizon.
- Calculate the stocks Value-at-Risk (VaR) at the 95% level over the 1 year horizon
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