medium · Quantitative Finance
A risk manager is calculating the one-day 99% Value at Risk (VaR) for a 10 million portfolio. The expected daily return is 0.04% and the daily volatility is 1.5%. Using the parametric normal method (z_0.99 = 2.326), calculate the VaR.
- $243,100
- $348,900
- $150,000
- $344,900
Sign up free to see the explanation and track your rank →
More Quantitative Finance practice
- If the correlation between two assets is ρ = 0.6, what is the R^2 of a linear regression o
- For a standard Brownian motion W_t, what is the expected value of W_t^2?
- If the risk-neutral probability of an up move is p = 0.6, what is the expected stock price
- When calibrating a Heston stochastic volatility model, a pra… — Does this calibration sati
- Based on put-call parity, what is the arbitrage-free relationship?
- If the risk-neutral probability of an up move is p = 0.6 and the risk-free rate is zero, w
- Assuming 252 trading days in a year, what is the annualized historical volatility?
- Under Girsanov's Theorem, what does a change of probability measure primarily alter in a s