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suppose the average profit of FOF Inc is $1million per week. The standard deviation of profits per week is $1million as well. Calculate the 99%
suppose the average profit of FOF Inc is $1million per week. The standard deviation of profits per week is $1million as well. Calculate the 99% and 90% VaR for FOF. Assume profits are normally distributed.
Suppose the distribution of returns is not normal distribution but students t with 5 degrees of freedom. What is the 99%Var under this assumption? What happens to the VaR when the t distribution has 20 degrees of freedom instead? explain the difference in results.
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