KMR Investment is estimating a one-day VaR for its portfolio currently valued at $800 million. Using returns for the past 400 days (ordered in decreasing order, from highest daily return to lowest daily return), the daily returns are the following: 1.99%, 1.89%, 1.88%, 1.87%, . . . , –1.76%, –1.82%, –1.84%, –1.87%, –1.91%. What is the one-day 99% VaR under the historical simulation method?

		$14.08 million
		$14.56 million
		$14.72 million
		$15.04 million

Answer rating: 100% (QA)

Correct answer 1456 million What is the oneday 99 VaR u... View the full answer