riskmanagementhw1

riskmanagementhw1 - 2. 3 3. 3 4. 1,2 5. 1,3,4 6. 1 7. 2 8....

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Solutions: intro VAR and credit risk 1. 4 The institution can be expected to lose at least $1 million in 1 out of next 100 days. There will be loss worse than VaR in, on average, n=1% *100 = 1 day out of 100.
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This note was uploaded on 02/27/2010 for the course MA 535 taught by Professor Prasad during the Spring '10 term at Stevens.

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