You are a bank with 50 billion of assets your portfolio has, Ask an Expert

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You are a bank with $50 Billion of assets. Your portfolio has an expected return of 8% and a standard deviation of 6%. What is your value at risk at a 5% probability? If the regulators come in and say they want that same value at risk but at a 1% probability, what will you need to do with your portfolio?

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Financial Management, Finance

Category:- Financial Management
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