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?
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Day Trading Strategies And Risk Management
Authors: Richard N. Williams
1st Edition
979-8863610528
