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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Foundations of Financial Management
Authors: Stanley Block, Geoffrey Hirt, Bartley Danielsen, Doug Short, Michael Perretta
10th Canadian edition
1259261018, 1259261015, 978-1259024979
