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Question b,c b) How was VaR mis-used in LTCM and why? (10 marks) c) Suppose that an investment has 0.9% chance of a loss of

image text in transcribedQuestion b,c

b) How was VaR mis-used in LTCM and why? (10 marks) c) Suppose that an investment has 0.9% chance of a loss of $10 million and a 99.2% chance of a loss of $1 million. What is the Value-at-Risk (VaR) for this investment when the confidence level is 99%? (10 marks)

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