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Answer: The daily VaR for fixed income is approximately $46,445
This calculation uses the portfolio VaR formula assuming zero correlation between assets. First, the annual fixed income VaR is calculated from the portfolio and stock VaRs using the Pythagorean theorem. Then, the annual VaR is converted to daily VaR by dividing by the square root of 250 (trading days in a year).
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The computation follows: Assuming the correlation is 1`,367,000^2 = 1,153,000^2 + \text{VaR}^2_{\text{(fixed income)}} \text{VaR}_{\text{(fixed income)}} = 734,357 $$
Next convert the annual VaR to daily VaR: 734`,357 / \sqrt{250} = 46,445 $$
A
The daily VaR for fixed income is approximately $46,445
B
The daily VaR for fixed income is approximately $734,357
C
The daily VaR for fixed income is approximately $1,153,000
D
The daily VaR for fixed income is approximately $1,367,000
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