Financial Risk Manager Part 1
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Q-70.
A commodity-trading firm has an options portfolio with a two-day Value-at-Risk (VaR) of 2.5 million. What would be an appropriate translation of this VaR to a ten-day horizon under normal conditions?
Q-70.
A commodity-trading firm has an options portfolio with a two-day Value-at-Risk (VaR) of 2.5 million. What would be an appropriate translation of this VaR to a ten-day horizon under normal conditions?
Exam-Like
A
$3.713 million
B
$4.792 million
C
$5.590 million
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