Consider a portfolio position of $10 million on which returns are assumed to be normally distributed with

Question:

Consider a position of $10 million on which returns are assumed to be normally distributed with a current standard deviation of 20 percent per annum. The average VAR on the previous 60 days is $320,000. What is the minimum market-risk charge?
Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...