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Using a 365 day count for 1 year, for a normally distributed portfolio size of $200 million with standard deviation of 20%, compute: i. 1-day
Using a 365 day count for 1 year, for a normally distributed portfolio size of $200 million with standard deviation of 20%, compute:
i. 1-day 97.5% VaR
ii. 9-day 97.5% VaR
iii. 1-day 90% VaR
iv. 20-day 90% VaR
i. 1-day 97.5% VaR
ii. 9-day 97.5% VaR
iii. 1-day 90% VaR
iv. 20-day 90% VaR
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Step: 1
To calculate the VaR Value at Risk we need to use the following formula VaR portfolio size zscore standard deviation where portfolio size 200 million ...
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An Introduction To Statistical Methods And Data Analysis
Authors: R. Lyman Ott, Micheal T. Longnecker
7th Edition
1305269470, 978-1305465527, 1305465520, 978-1305269477
