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Under the assumption of normality, what is the level of loss that would be exceeded one day out of a hundred for a $100 million
Under the assumption of normality, what is the level of loss that would be exceeded one day out of a hundred for a $100 million worth equity portfolio that has a return correlation of 0.80 with the market index if the daily standard deviation of returns is 2.5% for the market index and 3.5% for the equity portfolio in question? What is the expected magnitude of the loss conditional on this threshold level being exceeded?
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