Returns to compute an approximate var

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Reference no: EM131615710

Use the historical method and the following information for the last 120 days of returns to compute an approximate VaR for a $20 million portfolio using a probability of 0.05.

Less than -10% 5

-10% to -5% 18

-5% to 0% 42

0% to 5% 36

5%to 10% 15

Greater than 10% 4

Reference no: EM131615710

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