Using a 365 day count for 1 year, for a normally distributed portfolio size of $200 million

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Using a 365 day count for 1 year, for a normally distributed portfolio size of $200 million with standard deviation of 20%, compute:

i. 1-day 97.5% VaR

ii. 9-day 97.5% VaR

iii. 1-day 90% VaR

iv. 20-day 90% VaR

Related Book For answer-question

An Introduction To Statistical Methods And Data Analysis

ISBN: 9781305465527

7th Edition

Authors: R. Lyman Ott, Micheal T. Longnecker

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Posted Date: Apr 06, 2023 03:44 AM

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Using a 365 day count for 1 year, for a normally distributed portfolio size of $200 million

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Expert Answer:

To calculate the VaR Value at Risk we need to use the following formula VaR portfolio size zscore standard deviation where portfolio size 200 million ... View the full answer

An Introduction To Statistical Methods And Data Analysis

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