Financial Risk Manager Part 2
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Ultimate access to all questions.
Ultimate access to all questions.
To compare the 1-day 95% Value at Risk of USD 2.055 million to the 10-day 99% Value at Risk of USD 9.089 million, calculate the increase in Value at Risk using the formula (9.089 - 2.055) million. By how much does the Value at Risk increase, and what is the resulting Value at Risk in USD million?