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The VaR of a bank's trading portfolio has been estimated at $125,000. It is assumed that the daily earnings are independently and normally distributed. What
- The VaR of a bank's trading portfolio has been estimated at $125,000. It is assumed that the daily earnings are independently and normally distributed.
What is the 5-day VaR?
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Focus On Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert Hughes, Melissa Hart
6th Edition
125991965X, 978-1259919657
