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 and ES for a confidence level of 99.5% and a time horizon of three months.
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Entrepreneurial Finance
Authors: J. Chris Leach, Ronald W. Melicher
6th edition
1305968352, 978-1337635653, 978-1305968356
