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?
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How To Read A Financial Report Wringing Vital Signs Out Of The Numbers
Authors: John A. Tracy , Tage C. Tracy
9th Edition
1119606462,1119606489
