As a portfolio manager for Bank of America Merrill Lynch, you are managing a portfolio of $33.90

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As a portfolio manager for Bank of America Merrill Lynch, you are managing a portfolio of $33.90 million. You would like to estimate how much your portfolio might be losing over the period of next 81 trading days. Suppose the portfolio has a daily volatility of 3.0%.

a. What is 81 day volatility?

b. What is the VaR (in dollars) over a 81 day time period at a 95% confidence level?

c. What is the VaR (in dollars) over a 81 day time period at a 99% confidence level?

Related Book For answer-question

Statistical Techniques in Business and Economics

ISBN: 978-0078020520

16th edition

Authors: Douglas Lind, William Marchal

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Posted Date: May 03, 2023 01:07 AM

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As a portfolio manager for Bank of America Merrill Lynch, you are managing a portfolio of $33.90

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a The 81day volatility can be estimated by multiplying the daily volatility by the squ... View the full answer

Statistical Techniques in Business and Economics

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