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Please do complete in word DOCUMENT and show all working thank you! WIll Upvote ABC Bank shares have a monthly average return of 0.5% and
Please do complete in word DOCUMENT and show all working thank you! WIll Upvote
ABC Bank shares have a monthly average return of 0.5% and a monthly return standard deviation of 10%. Returns are assumed to be normally distributed. Provide the following risk measures and show your working. Assume 21 trading days in a month. Use 4-digit decimal places throughout the calculation. a) Calculate the stock's Value-at-Risk at the 99% level over a 1 month horizon. b) Calculate the stock's Value-at-Risk at the 99% level over a 1 day horizonStep by Step Solution
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