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garp20-p2-24

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    Q24 Mock exam GARP 2020 - Surplus at risk

    Hi everybody, Doing the question number 24 of GARP mock exam 2020, I found an issue. Explanation: C is correct. The lower bound of the 95% confidence interval is equal to: Expected Surplus – (95% confidence factor * Volatility of Surplus). Expected surplus: VA*[1 + E(RA)] – VL*[1 + E(RL)] =...
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