As a portfolio manager for Citicorp, you want to estimate how much your portfolio might be losing over the next 36 trading days. Suppose the portfolio has a value of $30 million and the daily volatility of 1%. 
What is the volatility over a 36 day period? 
What is the VaR over a 36 day time period at a 99% confidence level?

Answer rating: 100% (QA)

To estimate the potential loss in a portfolio over a 36day period we need to calculate the volatilit... View the full answer