VaR Oct 2010 past paper

Discussion in 'SP5' started by person, Apr 1, 2012.

  1. person

    person Member

    Reference Q4(ii) October 2010.

    The question states that LOG returns are normally distributed... yet it appears to me that the answer simply assumes that returns themselves are normally distributed. Working through the answers the difference in the result is actually quite small. Am I right in thinking the answer assumes normal returns?
     

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