Interpret the following statements about value at risk so that they would be easily understood by a
Question:
a. VAR of $ 1.5 million, one week, probability = 0.01.
b. VAR of $3.75 million, one year, probability = 0.05?
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a There is a 001 probability that ...View the full answer
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Related Book For
Introduction To Derivatives And Risk Management
ISBN: 9781305104969
10th Edition
Authors: Don M. Chance, Robert Brooks
Question Posted:
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