medium · Quantitative Finance qf-core
A $20 million equity portfolio has an expected daily return of 0.05% and a daily volatility of 1.4%. Assuming daily returns are normally distributed, what is the one-day 99% Value at Risk (VaR)? (Use the standard normal quantile z_0.01 = -2.326)
- $661,280
- $450,600
- $651,280
- $641,280
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