Question: Suppose that an FI holds a $15 million trading position in stocks that reflect the U.S. stock market index (e.g., the S&P 500). Over the

Suppose that an FI holds a $15 million trading position in that reflect the U.S. stock market index (e.g., the S&P 500). Over the last year, the σm of the daily returns on the stock market index was 156 bp. Calculate the DEAR for this of using a 99 percent confidence limit.

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