hbchauhan6225 hbchauhan6225
  • 23-05-2023
  • Business
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Bank A's stock portfolio has a market value of $10 million. The beta of the portfolio is the same as the market portfolio beta. The market return volatility (om) has been estimated at 10 percent. What is the five-day VAR of this portfolio using adverse rate changes in the 99th percentile?

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