Explanation:
First, convert the daily variance into a daily standard deviation .
daily VaR(5%) percentage basis =
annual VaR(5%) percentage basis = daily VaR(5%) percentage basis
= $0.3689 = 36.89%$
(Book 4, Module 56.2, LO 56.c)
Ultimate access to all questions.
Question 85
A portfolio manager has a portfolio of investment securities for a commercial bank. The portfolio has a current market value equal to $5,334,500 with a daily variance of 0.0002. Over the years, the portfolio has increased its proportionate holdings of equity securities, and the manager is concerned that the portfolio may be riskier than the bank's internal regulations allow. The annual VaR (5%) assuming there are 250 trading days in a year is closest to:
A
0.52%.
B
2.33%.
C
36.89%.
D
43.82%.
No comments yet.