Question
Suppose you invest $100,000 in asset A. The daily volatility of asset A's return is 1%. (a) Please estimate the 10-day 99% dollar VaR. Please
Suppose you invest $100,000 in asset A. The daily volatility of asset A's return is 1%.
(a) Please estimate the 10-day 99% dollar VaR. Please round your number to the nearest dollar.
(b) Please estimate the 5-day 95% percentage VaR. Please keep two decimal places in your percentage.
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Personal Finance
Authors: E. Thomas Garman, Raymond E. Forgue
13th edition
1337099759, 978-1337516440, 1337516449, 978-1337099752
