A risk manager is reviewing the current holdings of a portfolio of investments. If the portfolio had been held over the past 3 years(750 business days), the 10 worst losses would have been, 377.5, 280, 2201, 124, 666.67, 756, 897, 5645, 435, 3689. What is the current one day VAR using a 3 year lookback at the 99% confidence level ? Use the historic simulation method.

Answer rating: 100% (QA)

To calculate the current oneday Value at Risk VAR using the historic simulation meth... View the full answer