Question
Question 2 Suppose that the change in the value of a portfolio over a one-day time-period is normal with a mean of zero and a
Question 2
Suppose that the change in the value of a portfolio over a one-day time-period is normal with a mean of zero and a standard deviation of $5 million. a) The one-day 97.5% VaR is _________million b) The five-day 97.5% VaR is ________million. c) The five-day 99% VaR is________ million.
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Public Finance A Contemporary Application Of Theory To Policy
Authors: David N Hyman
10th Edition
053875446X, 978-0538754460
