As a portfolio manager for Bank of America Merrill Lynch, you are managing a portfolio of $33.90 million. You would like to estimate how much your portfolio might be losing over the period of next 81 trading days. Suppose the portfolio has a daily volatility of 2.0%.

a. What is 81-day volatility? (Sample answer: 15.50% or 0.1550) b. What is the VaR (in dollars) over an 81-day time period at a 95% confidence level? (Sample answer: $2.5 million; or $2,500,000.0) c. What is the VaR (in dollars) over an 81-day time period at a 99% confidence level? (Sample answer: $2.5 million; or $2,500,000.0)