Question: Suppose your portfolio return is normally distributed with a mean of 0. The daily 1% VaR of your portfolio is 12%. What is the 5%

Suppose your portfolio return is normally distributed with a mean of 0. The daily 1% VaR of your portfolio is 12%. What is the 5% VaR of your portfolio?

(Hint: The one-percentile and five-percentile points of a standard normal distribution are -2.326 and -1.645 respectively)

A) 10.50%

B) 12%

C) 8.49%

D) 5.66%

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