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Gwynedd Bank plc. uses VaR risk management techniques. One of the bank’s traders has a £20 million portfolio of equities. The portfolio’s return is normally distributed with a one-day standard deviation of 0.5%.
What is the loss in value that has a 1% probability of being exceeded over the next 4 days?
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The task comprised of computation of the loss of value of a portfolio of equity worth $ 20 million using the VaR risk management techniques. The data given in the task has been applied on the relevant formula to generate the answer.
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