Explanation:
Lognormal VaR = P(1 − e^(μ−σz))
= 100,000,000(1 − e^(0.1−0.4(1.645)))
= 100,000,000 × (−0.4276) = 42,764,737
Ultimate access to all questions.
Q.2632 An analyst has gathered the following information about a portfolio that has normally distributed geometric returns:
| Mean | 10% |
|---|---|
| Standard Deviation | 40% |
| Portfolio | 100 million |
What is the 95% lognormal VAR for this portfolio?
A
$74.7 million.
B
$35.3 million.
C
$42.8 million.
D
$113.4 million.
No comments yet.