Question: This is the answer. Please provide step by step calculation and what equations are being used. 12.12 The change in the value of a portfolio

This is the answer. Please provide step by step calculation and what

This is the answer. Please provide step by step calculation and what equations are being used.

equations are being used. 12.12 The change in the value of a

12.12 The change in the value of a portfolio in one month is normally distributed with a mean of zero and a standard deviation of \$2 million. Calculate the VaR and ES for a confidence level of 98% and a time horizon of three months. 12.12 The standard deviation in three months is 23=$3.464 million. Also, N1(0.98)=2.054. The 98% three-month VaR is therefore 3.4642.054= www.rasabourse.com Answers to Questions and Problems 723 $7.11 million. The 98% three-month ES is 3.464exp(2.0542/2)/(2 0.02)=$8.39 million

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