Imagine that you are managing a trading portfolio worth $$130$ million. The return on your portfolio is normally distributed with an annual standard deviation of $22\%.$ What is the $1-$day VAR with $99\%$ confidence?

Hint: VAR $(99\%)=2\mathrm{.}33$ x $$S x $$

Assume there are $250$ trading days.

$$year $=$day $(250^0\mathrm{.}5)$

$$day $=$year $/2500\mathrm{.}5$

$10-$day $=$day x $(10^0\mathrm{.}5)$

Group of answer choices

$3\mathrm{.}84$ million

$5\mathrm{.}14$ million

$4\mathrm{.}80$ million

$3\mathrm{.}92$ million

$4\mathrm{.}21$ million