The annual standard deviation of the portfolio

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Reference no: EM131983040

VB is a U. S. corporation with a currency portfolio worth USD 1 million. The firm expects to liquidate this portfolio in three months. A financial analyst in the firm estimates that the annual standard deviation of the portfolio is 10 percent.

Using the delta- normal approach, determine the 5 percent VaR for this portfolio.

Reference no: EM131983040

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