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The volatility of a certain portfolio is 25% per annum. Calculate a 99% one-day VaR for this portfolio. Please enter your answer as a percentage,
The volatility of a certain portfolio is 25% per annum. Calculate a 99% one-day VaR for this portfolio. Please enter your answer as a percentage, i.e. enter 5.00 for 5.00%. (Note that N(-2.33)=0.01)
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Calculating 99 oneday VaR There are two key things to consider here Annualized Volatility vs Daily V...
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
