The daily delta-normal VaR is calculated as $[R_p - (z)(\sigma)](\text{value of portfolio})$, where $R_p$ is the expected return on the portfolio, $z$ is the z-value corresponding to the desired level of significance, and $\sigma$ is the standard deviation. Annual VaR = $[0.1 - (2.33 \times 0.15)] \times 10,000,000 = -€2,495,000$. In order to convert annual VaR to daily VaR, we need to scale the standard deviation by the square root of time and the mean by 250 trading days. VaR = $\{0.1 / 250 - [(2.33 \times 0.15) / 250^{(1/2)}]\} \times 10,000,000 = -€217,043$.

(Book 4, Module 47.1, LO 47.c)