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Q.4705 A pension fund allocates $4,550 million to different classes of assets. The volatility of the investment is 7%. At a 95% level of confidence, what is the value-at-risk? | Financial Risk Manager Part 2 Quiz - LeetQuiz

Explanation:

\text{VaR} = \alpha \sigma w

At 95% confidence level, $\alpha = 1.65$

\text{VaR} = 1.65 \times 0.07 \times \`$4`,550 = \`$525.53` \text{ million}

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Q.4705 A pension fund allocates `$4`,550 million to different classes of assets. The volatility of the investment is 7%. At a 95% level of confidence, what is the value-at-risk?