QUESTION 28 Consider a position consisting of a $200,000 investment in asset A and a $200,000 investment in asset B. Assume that the daily volatilities of both assets are 2.0% and that the coefficient of correlation between their returns is 0.40. Estimate the 5-day 99% VaR for the portfolio assuming normally distributed returns. [CH22Q1V11] 36732.36 33682.1 30741.46 39908.6 QUESTION 29 A financial institution owns a portfolio of options on the U.S. dollar-sterling exchange rate. The delta of the portfolio is 71. The current exchange rate is 1.65. Derive an approximate linear relationship between the change in the portfolio value and the percentage change in the exchange rate. If the daily volatility of the exchange rate is 0.85%, estimate the 10-day 99% VaR. [CH22Q2V16] 7.56 7.81 8.05 7.33 QUESTION 30 Suppose that the daily change in the value of a portfolio is, to a good approximation, linearly dependent on two factors, calculated from a principal components analysis. The delta of a portfolio with respect to the first factor is 7.6 and the delta with respect to the second factor is -5.6. The standard deviations of the factors are 28 and 16, respectively. What is the 5-day 90% VaR? [CH22Q3V9] $661.89 $707.36 $754.45 $803.14