medium · Quantitative Finance qf-core
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
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