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Calculate the vars

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Suppose that the daily change in the value of a portfolio is normal with a mean of zero and a standard deviation of $2 million. Calculate the following VaRs:

(1) one-day 97.5% VaR,

(2) five-day 97.5% VaR, and

(3) five-day 99% VaR. (Hint: The left-tailed z-value is 1.96 for the 97.5% confidence level.)

Reference no: EM132679124

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