4. Suppose that the change in the value of a portfolio over one-day time period is normal...

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4. Suppose that the change in the value of a portfolio over one-day time period is normal with a mean of zero and a standard deviation of $2 million. a. What is (a) the one-day time 97.5% VaR? b. The five-day 97.5% VaR? c. The five-day 99% VaR? d. What difference does it make to your answer if there is first-order daily autocorrelation with correlation parameter equal to 0.16

Posted Date: May 19, 2024 08:00 PM

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4. Suppose that the change in the value of a portfolio over one-day time period is normal...

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