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Brink presents an alternative approach to estimate VaR for Fund Y. Fund Y has assets of USD 292million. Brinks Historical VaR analysis indicates that Fund

Brink presents an alternative approach to estimate VaR for Fund Y. Fund Y has assets of USD 292million. Brinks Historical VaR analysis indicates that Fund Ys average monthly return over the past 10 years is 0.63% with a monthly standard deviation of 2.53%. The 10 worst monthly returns during that period are shown in the Table 1

Table 1: Ten Worst Monthly Returns for Fund Y over the Past 10 Years

Jul 2008

Aug 2008

Sep 2009

Sep 2011

Sep 2013

Dec 2008

Jun 2009

Oct 2008

Jun 2011

Aug 2013

-11.02%

-10.60%

-9.11%

-9.00%

-7.51%

-6.75%

-5.56%

-4.02%

-3.00%

-2.94%

Calculate the 5% monthly VaR (in USD) for Fund Y using the historical method.

a.-21.93million

b.-30.95million

c.-19.71million

d.-10.35million

pls show the work

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