Question
The change in the value of a portfolio in three months is normally distributed, with a mean of $500,000 and a standard deviation of $3
The change in the value of a portfolio in three months is normally distributed, with a mean of $500,000 and a standard deviation of $3 million. Calculate the VaR (Value at Risk) and ES (Expected Shortfall) for a confidence level of 99.5% and a time horizon of three months? Show all work.
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Contemporary Conflict Resolution
Authors: Oliver Ramsbotham, Tom Woodhouse, Hugh Miall
3rd Edition
0745649742,1509509542
