Ques22:

A bank holds a trading portfolio (long position) valued at $100,000. The daily returns on this portfolio are not independently distributed. Based on the bank's estimation, the DEAR for the banks portfolio is $3000. Further, based on an independent estimate, the bank estimates that over the 10-day horizon, the portfolio value could go up by 10% or go down by 8% with a 5% chance. What is the 10-day VAR?

Select one:

a. $8,000

b. $9,487

c. $30,000

d. $49,500

e. $10,000