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You manage a portfolio worth $10M, you estimate the volatility is 20% per annum, if log rate of return is normally distributed, what is 99%
You manage a portfolio worth $10M, you estimate the volatility is 20% per annum, if log rate of return is normally distributed, what is 99% two weeks VaR
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Pricing Analytics Models And Advanced Quantitative Techniques For Product Pricing
Authors: Walter R. Paczkowski
1st Edition
1138623938, 9781138623934
