Question
Suppose your portfolios daily returns follow a normal distribution with volatility = 1.5%. (i) Based on this information, what is the 10-day 95% VaR? (ii)
Suppose your portfolios daily returns follow a normal distribution with volatility = 1.5%.
(i) Based on this information, what is the 10-day 95% VaR?
(ii) What is the corresponding 10-day 95% ES?
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Principles Of Managerial Finance
Authors: Lawrence J. Gitman, Chad J. Zutter
13th Edition
9780132738729, 136119468, 132738724, 978-0136119463
