Question
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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