Question
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
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 $2 million. What is (a) the one-day 97.5% VaR, (b) the five-day 97.5% VaR, and (c) the five-day
99% VaR? (d) What difference does it make to your answer if there is first-order daily autocorrelation with correlation parameter equal to 0.16?
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Fundamentals of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
Concise 6th Edition
324664559, 978-0324664553
