question archive The probability that the loss from a portfolio will be greater than $10 millionin one month is estimated to be 5%
The probability that the loss from a portfolio will be greater than $10 millionin one month is estimated to be 5%
Subject:FinancePrice: Bought3
The probability that the loss from a portfolio will be greater than $10 millionin one month is estimated to be 5%.
(a) What is the one-month 99% VaR, assuming the change in value of the
portfolio is normally distributed with zero men?
