easy · Quantitative Finance
A portfolio has a daily expected return of 0.05% and a daily volatility of 1.2%. Using the parametric method and assuming normality, what is the 1-day 99% Value at Risk (VaR) for a $10 million investment? (Use z_0.99 = 2.326)
- 283,120
- 120,000
- 232,600
- 274,120
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