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Ques22: A bank holds a trading portfolio (long position) valued at $100,000. The daily returns on this portfolio are not independently distributed. Based on the
Ques22:
A bank holds a trading portfolio (long position) valued at $100,000. The daily returns on this portfolio are not independently distributed. Based on the bank's estimation, the DEAR for the banks portfolio is $3000. Further, based on an independent estimate, the bank estimates that over the 10-day horizon, the portfolio value could go up by 10% or go down by 8% with a 5% chance. What is the 10-day VAR?
Select one:
a. $8,000
b. $9,487
c. $30,000
d. $49,500
e. $10,000
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