Question: This is the answer. Can you please provide step by step calculation and what equations are being used. 12.6 Suppose that the change in the

This is the answer. Can you please provide step by step

This is the answer. Can you please provide step by step calculation and what equations are being used.

calculation and what equations are being used. 12.6 Suppose that the change

12.6 Suppose that the change in the value of a portfolio over a one-day time period is normal with a mean of zero and a standard deviation of $2 million; what is (a) the one-day 97.5%VaR, (b) the five-day 97.5%VaR, and (c) the five-day 99%VaR ? 12.6(a)21.96=$3.92million,(b)521.96=$8.77million,(c)522.33=10.40million

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