Brink presents an alternative approach to estimate VaR for Fund Y. Fund Y has assets of USD 331million. Brinks Historical VaR analysis indicates that Fund Ys average monthly return over the past 10 years is 1.02% with a monthly standard deviation of 2.91%. 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
-11.92%	-10.06%	-9.16%	-8.49%	-7.89%	-6.03%	-5.01%	-4.14%	-3.84%	-2.47%

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

a.-5.01%

b.-6.03%

c.-7.89%

d.-3.78%

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