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As a portfolio manager for Citicorp, you want to estimate how much your portfolio might be losing over the next 36 trading days. Suppose the
As a portfolio manager for Citicorp, you want to estimate how much your portfolio might be losing over the next 36 trading days. Suppose the portfolio has a value of $30 million and the daily volatility of 1.5%. What is the volatility over a 36 day period? [x] (sample answer: 24.50%) What is the VaR over a 36 day time period at a 95% confidence level? [y] (sample answer: $12.50 million)
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