Question 18

A portfolio manager of an endowment wants to calculate a daily VaR for the portfolio. The €5,000,000 portfolio is restricted from using derivative securities. The manager uses a 5% level of significance to estimate the VaR. The manager ranked the 100 daily returns from last year, and reports the lowest eight returns to be: −0.0099, −0.0106, −0.0132, −0.0159, −0.0211, −0.0254, −0.0368, and −0.0584. Which of the following amounts is closest to the daily VaR using the historical simulation method?