The ten-day var calculated by multiplying the one-day var, Finance Basics

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The ten-day var calculated by multiplying the one-day var

Suppose that daily changes for a portfolio have first-order correlation with correlation parameter 0.12. The ten-day VaR, calculated by multiplying the one-day VaR by the square root of 10, is $2 million. What is a better estimate of the VaR that takes account of autocorrelation?

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Finance Basics: The ten-day var calculated by multiplying the one-day var

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Finance Basics: The ten-day var calculated by multiplying the one-day var

Reference No:- TGS0634231

Have a Question? (oR Write a Review)

Recent Questions Asked Finance Basics

Q : You obtained a loan of 20000 to finance your home

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Request for Solution File

Ask an Expert for Answer!!

Finance Basics: The ten-day var calculated by multiplying the one-day var

Reference No:- TGS0634231

Recent Questions Asked Finance Basics

Q : You obtained a loan of 20000 to finance your home

Q : One component of a magnetic field has a magnitude of 0028 t

Q : He makes another deposit in the amount of 6000 4 years

Q : In an ac generator the magnetic field is 05t the number of

Q : The ten-day var calculated by multiplying the one-day var

Q : Complete a dupont analysis by calculating the

Q : Then 50ml was withdrawn and diluted to 200ml the spectrum

Q : For a motor rated vrms230v p300w pf075laggingcalculate the

Q : Over the last 3 years you earned 5 7 and 9 what is the

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