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Calculate the var and es for a confidence level

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Reference no: EM132507202

The change in the value of a portfolio in one month is normally distributed with a mean of zero and a standard deviation of $2 million.

(a) Calculate the VaR and ES for a confidence level of 98% and a time horizon of one month. 

(b) Assume that monthly returns are independent and identically distributed (iid). Calculate the VaR and ES for a confidence level of 98% and a time horizon of three months.

Reference no: EM132507202

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