Question: Use the following information to answer Problem 2 (a) and (b). Consider a portfolio position of $10 million on which returns are assumed to be

Use the following information to answer Problem 2 (a) and (b). Consider a portfolio position of $10 million on which returns are assumed

Use the following information to answer Problem 2 (a) and (b). Consider a portfolio position of $10 million on which returns are assumed to be normally distributed and annual standard deviation of the rate of returns is 25%. Problem 2 (a) (25 points) What is the 99 percent one-day parametric VaR assuming 252 trading days per year? Problem 2 (b) (25 points) What is the 99 percent 10-day horizon parametric VaR assuming 252 trading days per year

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