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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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