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QUESTION 13 Current market price per unit Number of units held Total market value Historical volatility Asset A $50 100 $5,000 1.0% one day) Asset
QUESTION 13 Current market price per unit Number of units held Total market value Historical volatility Asset A $50 100 $5,000 1.0% one day) Asset B $100 100 $10,000 2.0% one day) Calculate the 5-day VaRA. VaRg and Va Rpfor a 95% confidence level assuming a correlation of-1 between A and B. Show your steps
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