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Rio Tinto shares have a monthly average return of 1% and a monthly return standard deviation of 6%. Returns are assumed to be normally distributed.
Rio Tinto shares have a monthly average return of 1% and a monthly return standard deviation of 6%. Returns are assumed to be normally distributed. Provide the following risk measures and show your working. a) Calculate the stocks Value-at-Risk at the 95% level over a 1 month horizon. c) Calculate the stocks Value-at-Risk at the 95% level over a 1 day horizon (Hint: if you assume there are 21 trading days in a year, 1 day is 1/21 0.048 of a month.)
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