To compare the 1-day 95% Value at Risk of USD 2.055 million to the 10-day 99% Value at Risk of USD 9.089 million, calculate the increase in Value at Risk using the formula (9.089 - 2.055) million. By how much does the Value at Risk increase, and what is the resulting Value at Risk in USD million?

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USD 4.373 million is the difference between the 10-day 95% VaR for the rebalanced portfolio and the 1-day 95% VaR for the original portfolio: 6.428 million - 2.055 million = 4.373 million.

17.1%

USD 6.428 million is the rebalanced portfolio 10-day 95% VaR.

17.1%

VaR will increase by (9.089 - 2.055) million, or USD 7.034 million. Thus, C is correct.

48.8%

USD 9.089 million is the 10-day 99% VaR for the rebalanced portfolio.

17.1%

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To compare the 1-day 95% Value at Risk of USD 2.055 million to the 10-day 99% Value at Risk of USD 9.089 million, calculate the increase in Value at Risk using the formula (9.089 - 2.055) million. By how much does the Value at Risk increase, and what is the resulting Value at Risk in USD million?