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Computing...

Input interpretation:

value at risk


Equation:

1\/2 erfc((r_m\/250+log(V_i)-log(V_i-VaR))\/((sqrt(2) sigma)\/sqrt(250))) = p |  \nVaR | daily value at risk\nV_i | initial value\nr_m | mean annual return\nsigma | volatility\np | cutoff percentile\n(VaR represents the amount of money at risk with a probability of p, over a time period t)


Input values:

initial value | $100  (US dollars)\nmean annual return | 10%\nvolatility | 30%\ncutoff percentile | 1%


Result:

daily value at risk | $4.28  (US dollars)