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Suppose that the change in the log return of a portfolio

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Reference no: EM13570708

Suppose that the change in the log return of a portfolio over a one-day time period is normal with a mean of zero and a standard deviation of 1%. The initial value of the portfolio is $5 million. What is:

a) the one-day 97.5% VaR?

and

b) the five-day 97.5% VaR?

Reference no: EM13570708

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