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Two portfolios have the same 1-day VaR. Which of the following statements is TRUE? O a. Both portfolios must have the same correlation of asset
Two portfolios have the same 1-day VaR. Which of the following statements is TRUE? O a. Both portfolios must have the same correlation of asset returns. O b. The 1-day change in asset values is log-normally distributed in both portfolios. O c. The expected loss, conditional on losses being greater than VaR, is the same in both portfolios. O d. The probability that losses could exceed the same dollar amount is equal in both portfolios
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