The volatility of a certain portfolio is 25% per annum. Calculate a 99% one-day VaR for this

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The volatility of a certain portfolio is 25% per annum. Calculate a 99% one-day VaR for this portfolio. Please enter your answer as a percentage, i.e. enter 5.00 for 5.00%. (Note that N(-2.33)=0.01)

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Fundamentals of Futures and Options Markets

ISBN: 978-0132993340

8th edition

Authors: John C. Hull

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Posted Date: Apr 23, 2024 03:58 AM

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The volatility of a certain portfolio is 25% per annum. Calculate a 99% one-day VaR for this

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Calculating 99 oneday VaR There are two key things to consider here Annualized Volatility vs Daily V... View the full answer

Fundamentals of Futures and Options Markets

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