Question
Suppose that the daily change in the value of a portfolio is normal with a mean of zero and a standard deviation of $2 million.
Suppose that the daily change in the value of a portfolio is normal with a mean of zero and a standard deviation of $2 million. Calculate the following VaRs:
(1) one-day 97.5% VaR,
(2) five-day 97.5% VaR, and
(3) five-day 99% VaR. (Hint: The left-tailed z-value is 1.96 for the 97.5% confidence level.)
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Microeconomics: An Intuitive Approach With Calculus
Authors: Thomas Nechyba
2nd Edition
1305650468, 978-1305650466
