Your bank has a portfolio and you have calculated the daily portfolio. The confidence

level of the VaR is $99\%,$ that is you have been calculating VaR. every business day.

a$.$ For $255$ business days, how many number of violation $(N)$ is allowed?

i$.N<mn\; id="EditorElement\_723607">7</mn>$

ii$.2$

$b.$ You found that the number $of$ violation $is6$ for the last $255$ days. Based $on$ Bassel

$II$ accord, what $is$ the risk zone for the portfolio.

$i.$ Red

$ii.$ Green

iii. Yellow

$iv.$ Grey$4$

$iv.2$

$b.$ You found that the number $of$ violation $is6$ for the last $255$ days. Based $on$ Bassel

$II$ accord, what $is$ the risk zone for the portfolio.

$i.$ Red

$ii.$ Green

iii. Yellow

$iv.$ Grey$1$

iii. $4$

$iv.2$

$b.$ You found that the number $of$ violation $is6$ for the last $255$ days. Based $on$ Bassel

$II$ accord, what $is$ the risk zone for the portfolio.

$i.$ Red

$ii.$ Green

iii. Yellow

$iv.$ Grey