Question: Using a 365 day count for 1 year, for a normally distributed portfolio size of $200 million with standard deviation of 20%, compute: i. 1-day

Using a 365 day count for 1 year, for a normally distributed portfolio size of $200 million with standard deviation of 20%, compute:

i. 1-day 97.5% VaR

ii. 9-day 97.5% VaR

iii. 1-day 90% VaR

iv. 20-day 90% VaR

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To calculate the VaR Value at Risk we need to use the following formula VaR portfolio size zscore standard deviation where portfolio size 200 million ... View full answer

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