Answer: $13.6 million.

## Explanation **Calculation of 5% Daily VaR:** **Given:** - Portfolio value = $900 million - Daily expected return (μ) = 0.0298% = 0.000298 - Daily standard deviation (σ) = 0.9367% = 0.009367 - Confidence level = 95% (5% VaR) - Z-score for 5% VaR = 1.65 **VaR Formula:** \[\text{VaR} = \text{Portfolio Value} \times (\mu - z \times \sigma)\] **Calculation:** \[\text{VaR} = 900,000,000 \times (0.000298 - 1.65 \times 0.009367)\] \[\text{VaR} = 900,000,000 \times (0.000298 - 0.01545555)\] \[\text{VaR} = 900,000,000 \times (-0.01515755)\] \[\text{VaR} = -13,641,795\] **Result:** The 5% daily VaR is approximately **$13.6 million**. **Note:** The negative sign indicates a loss, but VaR is typically reported as a positive dollar amount representing the potential loss.

Author: LeetQuiz Editorial Team