Suppose that the one-day VaR with a confidence level of 95% is 1.5 million. Using the assumption

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Suppose that the one-day VaR with a confidence level of 95% is 1.5 million. Using the assumption that the distribution of portfolio value changes is normal with mean zero, the one-day 99% VaR, the 10-day VaR and the 250- day VaR

Posted Date: Jul 11, 2024 07:07 AM

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Suppose that the one-day VaR with a confidence level of 95% is 1.5 million. Using the assumption

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