Question
You are a portfolio manager for Bank of America. You want to estimate how much your portfolio might be losing over the next 9 trading
You are a portfolio manager for Bank of America. You want to estimate how much your portfolio might be losing over the next 9 trading days. Suppose the portfolio has a value of $25 million and the daily volatility of 4%. What is the volatility over a 9 day period? What is the VaR over a 9 day time period at a 99% confidence level?
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International Finance The Markets And Financial Management Of Multinational Business
Authors: Maurice D. Levi
3rd Edition
0070376875, 978-0070376878
