question archive 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
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
Subject:FinancePrice: Bought3
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?
