Question
Use the following statement for questions. Assume that we have a portfolio of $16,500,000 of securities with a daily VaR of 2.35% at the 99%
Use the following statement for questions. Assume that we have a portfolio of $16,500,000 of securities with a daily VaR of 2.35% at the 99% confidence interval.
(17) What is the annual VaR at the 99% confidence interval and what conversion factor would we use?
Annual VaR Conversion Factor
(a) 8.1% 12
(b) 16.9% 52
(c) 37.2% 250
(d) 44.9% 365
(18) What is the closest approximation of our $VaR and what does that mean?
$VaR Meaning
(a) $1,336,500 99% confidence we will not gain more than this in a year
(b) $6,138,000 99% confidence we will not lose more than this in a year
(c) $2,788,500 99% confidence we will not gain more than this in a year
(d) $7,408,000 99% confidence we will not lose more than this in a year
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