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The probability that the loss from a portfolio will be greater than $15 million in one month is estimated to be 5%. Compute the one-month
- The probability that the loss from a portfolio will be greater than $15 million in one month is estimated to be 5%.
- Compute the one-month 99% VaR, assuming the change in value of the portfolio is normally distributed with zero mean. Explain your results.
- Compute the one-month 99% VaR, assuming that the power law applies with =3. Explain your results.
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Public Finance
Authors: Richard W. Tresch
2nd Edition
0126990514, 978-0126990515
