Explanation

For historical simulation VaR at 99% confidence level with 400 days of data:

• The VaR corresponds to the 4th worst loss (since 1% of 400 = 4)
• The returns are ordered from highest to lowest
• The 4th worst return is -1.84% (counting from the bottom: -1.91%, -1.87%, -1.84%, -1.82%, ...)

Calculation:

• Portfolio value = USD 800 million
• VaR = Portfolio value × |4th worst return|
• VaR = 800,000,000 × 0.0184 = USD 14,720,000

Therefore, the daily VaR at 99% confidence level is USD 14.72 million.

Verification:

• 1st worst: -1.91% → Loss = 15.28 million
• 2nd worst: -1.87% → Loss = 14.96 million
• 3rd worst: -1.84% → Loss = 14.72 million
• 4th worst: -1.82% → Loss = 14.56 million

Since we need the 4th worst loss for 99% VaR, the correct answer is -1.84% which gives USD 14.72 million.