medium · Quantitative Finance qf-core
An analyst is estimating the 99% one-day Value at Risk (VaR) for a $20 million portfolio with a daily expected return of 0.05% and a daily volatility of 1.4%.
Assuming normal returns, what is the VaR in dollars?
- $460,600
- $736,400
- $641,280
- $560,000
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