The probability that the loss from a portfolio will be greater than $10 million in 1 month

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The probability that the loss from a portfolio will be greater than

$10 million in 1 month is estimated to be 5%.

(a) What is the 1-month 99% VaR assuming the change in value of the portfolio is normally distributed.

(b) What is the 1-month 99% VaR assuming that the power law described in Section 5.4 applies with = 3.

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Risk Management And Financial Institutions

ISBN: B008AUN1VW

1st Edition

Authors: John C Hull

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Question Posted: Jul 11, 2024 02:02 AM

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The probability that the loss from a portfolio will be greater than $10 million in 1 month

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Risk Management And Financial Institutions

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