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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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