Financial Risk Manager Part 1

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Answer: A

The correct answer is A. The calculations show: - VaR(10-day) = 316 → VaR(1-day) = 316/√10 = 100 - VaR(15-day) = 465 → VaR(1-day) = 465/√15 = 120 - VaR(20-day) = 537 → VaR(1-day) = 537/√20 = 120 - VaR(25-day) = 600 → VaR(1-day) = 600/√25 = 120 The VaR(1-day) from option A (100) is different from the others (all 120), making A the correct choice.

Author: LeetQuiz Editorial Team

Quick Answer

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Answer: A

Author: LeetQuiz Editorial Team

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Calculate VaR(1-day) from each choice:

$\text{VaR}(10-\text{day}) = 316 \rightarrow \text{VaR}(1-\text{day}) = 316 / \sqrt{10} = 100$

$\text{VaR}(15-\text{day}) = 465 \rightarrow \text{VaR}(1-\text{day}) = 465 / \sqrt{15} = 120$

$\text{VaR}(20-\text{day}) = 537 \rightarrow \text{VaR}(1-\text{day}) = 537 / \sqrt{20} = 120$

$\text{VaR}(25-\text{day}) = 600 \rightarrow \text{VaR}(1-\text{day}) = 600 / \sqrt{25} = 120$ $\text{VaR}(1-\text{day})$ from A is different from those from other answers.

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