Financial Risk Manager Part 1
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The VaR on a portfolio using a 1-day horizon is USD 100 million. The VaR using a 10-day horizon is:
The VaR on a portfolio using a 1-day horizon is USD 100 million. The VaR using a 10-day horizon is:
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A
USD 316 million if returns are not independently and identically distributed.
B
USD 316 million if returns are independently and identically distributed.
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