YOPSTAR3723 YOPSTAR3723

23-05-2023
Business

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A portfolio has daily expected return of 2% and daily standard deviation of 3.5%. The current value of the portfolio is $100 million. Assume that the 99% confidence level is 2.33.
What is the one day VaR at 99% confidence level?
What is the 10-day VaR at 99% confidence level?

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