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Suppose a bank estimated that the weekly standard deviation of returns for a security is 4.3% using data from the past 52 weeks. The bank

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Suppose a bank estimated that the weekly standard deviation of returns for a security is 4.3% using data from the past 52 weeks. The bank determined that the return for holding this security over a one-quarter horizon (13 weeks) is normally distributed. The value of the bank's current holding of this security is $150M. The bank also collected the information below on the standard normal distribution. Standard Normal Distribution (Mean =0. Std Dev =1 ) Determine the 4\% VAR (in dollars) for the asset over this one-quarter horizon. $40.7M. $57.6M. $11.3M. $38.4M. $81.4M

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