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The probability that the loss from a portfolio will be greater than $8 million in one month is estimated to be 5%. What is the
- The probability that the loss from a portfolio will be greater than $8 million in one month is estimated to be 5%.
- What is the loss that has a 1% chance of being exceeded, assuming the change in value of the portfolio is normally distributed with zero mean?
- What is the loss that has a 1% chance of being exceeded, assuming that the power law applies with = 3?
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Financial Management Concepts and Applications
Authors: Stephen Foerster
1st edition
013293664X, 978-0132936644
