Answer: USD 316 million if returns are independently and identically distributed.

## Explanation The time scaling of VaR follows the **square root of time rule** when returns are **independently and identically distributed (IID)**: \[\text{VaR}_{10\text{-day}} = \text{VaR}_{1\text{-day}} \times \sqrt{10}\] **Calculation:** \[\text{VaR}_{10\text{-day}} = 100 \times \sqrt{10} = 100 \times 3.162 ≈ 316\text{ million}\] **Key Points:** - The square root of time rule **only applies** when returns are **IID** - If returns are not IID (autocorrelated, trending, etc.), this scaling doesn't hold - Option A is incorrect because it states the opposite condition - Option C is wrong - VaR absolutely depends on the time horizon - Option D is incorrect - it uses division instead of multiplication **Correct Answer: B** - The 10-day VaR is USD 316 million **only if** returns are independently and identically distributed.

Author: LeetQuiz Editorial Team