Gwynedd bank plc uses var risk management techniques one of, Financial Management

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Gwynedd bank plc uses var risk management techniques one of

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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Financial Management: Gwynedd bank plc uses var risk management techniques one of

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Financial Management: Gwynedd bank plc uses var risk management techniques one of

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