Suppose your portfolio's daily returns follow a normal distribution with volatility = 1.5%. (i) Based on this

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Suppose your portfolio's daily returns follow a normal distribution with volatility = 1.5%. (i) Based on this information, what is the 10-day 95% VaR? (ii) What is the corresponding 10-day 95% ES?

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Authors: Philippe Jorion

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Posted Date: Apr 20, 2024 11:31 AM

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Suppose your portfolio's daily returns follow a normal distribution with volatility = 1.5%. (i) Based on this

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i Given that the volatility of the portfolios daily returns is 15 we first need to calculate the ... View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

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