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\ssume that you are working for nk and you have a portfolio with market valuation of £25,000,000 at annual volatility is 10% per an

\ssume that you are working for nk and you have a portfolio with market valuation of £25,000,000 at annual volatility is 10% per an

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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2.Assume that you are working for a US bank and you have a portfolio with a tot al market valuation of £25,000,000 and that annual volatility is 10% per annum assuming 252 trading days in a year.Wh at is a one day Value at risk with 95% co nf dence level.The exchange rate is 1 U S$ =£0.8
Transcribed Image Text:2.Assume that you are working for a US bank and you have a portfolio with a tot al market valuation of £25,000,000 and that annual volatility is 10% per annum assuming 252 trading days in a year.Wh at is a one day Value at risk with 95% co nf dence level.The exchange rate is 1 U S$ =£0.8
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