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Part I
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Market Risk
Market Risk
Medium
Sentinel Trading holds a portfolio valued at $25 million with a daily return standard deviation of 1.4%. Assuming returns are normally distributed, the 1-day 99% Value at Risk (VaR) is closest to:
A
$814,100
B
$350,000
C
$500,000
D
$1,000,000
Select an answer to continue
Tags
#var
#parametric-var
#normal-distribution
#market-risk
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