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Question 5: The probability that the loss from a portfolio will be greater than $10 million in one month is estimated to be (in %)

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Question 5: The probability that the loss from a portfolio will be greater than $10 million in one month is estimated to be (in \%) : 5 (a) What is the one-month 99% VaR assuming the change in value of the portfolio is normally distributed with zero mean? (b) What is the one-month 99% VaR assuming that the power law applies with =3

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