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Question
Consider the following discrete probability distributions of payoffs for 3 securities that are held in a DI's trading portfolio (payoff amounts shown are in $millions):
What is the one-day, 99% confidence level, value at risk (VAR) of securities Alpha and Beta, respectively (in millions)?
A. $3 and $25.50
B. $3 and $0.75
C. $248 and 248
D. $300 and $300
E. 300 and 3,300
Answer
This answer is hidden. It contains 157 characters.
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