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 deviation
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 $5 million. The first-order autocorrelation of daily changes is 0.1. a) The five-day 97.5% VaR is ________million. b) The five-day 99% VaR is_________ million.
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Essentials Of Accounting For Governmental And Not-for-Profit Organizations
Authors: Paul A Copley
11th Edition
0078025451, 9780078025457
