Normally distributed with daily standard deviation

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Reference no: EM131603515

Assume that the current price of oil is $100 a barrel and that the price of oil is normally distributed with a daily standard deviation of $2 per barrel. If an oil speculator holds 100,000 barrels of oil in his portfolio (and that is all that is held in the portfolio), what would be his one-day VaR at a 97.5% level of confidence?

Reference no: EM131603515

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