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

## Explanation When returns are **independently and identically distributed (i.i.d.)**, the VaR scales with the square root of time. The formula for converting VaR from one time horizon to another is: \[ \text{VaR}_{T} = \text{VaR}_{1} \times \sqrt{T} \] Where: - \( \text{VaR}_{1} \) = 1-day VaR = USD 100 million - \( T \) = 10 days Calculation: \[ \text{VaR}_{10} = 100 \times \sqrt{10} = 100 \times 3.162 \approx \text{USD 316 million} \] **Key Points:** - This scaling relationship **only holds** when returns are i.i.d. - If returns are not i.i.d. (Option A), the square root of time rule does not apply - VaR does depend on the time horizon (Option C is incorrect) - Option D is incorrect because it shows a decrease in VaR with longer horizon, which contradicts risk theory Therefore, the correct answer is **B** - USD 316 million if returns are independently and identically distributed.

Author: LeetQuiz .