Reviewing the current holdings of portfolio of investments

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A rish manager is reviewing the current holdings of a portfolio of investments. If the portfolio had been held over the past 3 years (750 business days), the worst 10 losses would have been 377.5, 280, 2201, 124, 666.67, 756, 897, 5645, 435, 3689. What is the current one day VAR using a 3 year lookback at the 99% confidence level? Use the historic simulation method.

Reference no: EM131972477

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