Question
A portfolio has daily expected return of 2% and daily standard deviation of 3.5%. The current value of the portfolio is $100 million. Assume that
A portfolio has daily expected return of 2% and daily standard deviation of 3.5%. The current value of the portfolio is $100 million. Assume that the 99% confidence level is 2.33.
i. What is the one day VaR at 99% confidence level? (5 marks)
ii. What is the 10-day VaR at 99% confidence level? (5 marks)
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Day Trading Definitive Beginner S Guide
Authors: Brian Stclair
1st Edition
1537510452, 978-1537510453
