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Part I
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Valuation & Risk Models
Valuation & Risk Models
Medium
A portfolio has a daily VaR of $2.4 million at the 99% confidence level assuming normally distributed returns. The 10-day VaR at the same confidence level is closest to:
A
$7.59 million
B
$24.00 million
C
$7.20 million
D
$4.80 million
Select an answer to continue
Tags
#value-at-risk
#var-scaling
#square-root-of-time
#risk-measurement
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