Question
Susan is an executive at a commercial bank. Susan has been asked to provide a risk assessment using VaR to estimate the risk exposure of
Susan is an executive at a commercial bank. Susan has been asked to provide a risk assessment using VaR to estimate the risk exposure of the bank's security portfolio, which currently has a value of 225 million. Susan calculates the daily variance of the portfolio as 0.00026. What is the 5-day 99% VaR in percentage points and dollar values?
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International Trade Finance
Authors: Tarsem Bhogal, Arun Trivedi
2nd Edition
303024542X, 9783030245429
