Suppose that the one-day VaR with a confidence level of 90% is $2 million and the
one-day expected shortfall is $2 million. Using the assumption that the distribution
of changes in the portfolio value is normal with mean zero, the one-day 95% VaR is
2.567
Select one:
a. can not be determined
b. 1.367
c. no answers
d. 2.567
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The post Suppose that the one-day VaR with a confidence level of 90% is $2 million and the one-day expected shortfall is $2 million. Using the assumption that the distribution of changes in the portfolio value is normal with mean zero, the one-day 95% VaR is 2.567 Select one: a. can not be determined b. 1.367 c. no answers d. 2.567 appeared first on Superb Professors.
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