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Please calculated with steps! Use the following information to answer Q1-Q4 Brink presents an alternative approach to estimate VaR for Fund Y. Fund Y has
Please calculated with steps!
Use the following information to answer Q1-Q4 Brink presents an alternative approach to estimate VaR for Fund Y. Fund Y has assets of USD 213 million. Brink's Historical VaR analysis indicates that Fund Y 's average monthly return over the past 10 years is 1.16% with a monthly standard deviation of 2.51%. The 10 worst monthly returns during that period are shown in the Table 1 1. Calculate the 5% monthly VaR (in % ) for Fund Y using the analytical metnos: (o Marks) Step by Step Solution
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