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Suppose that the one-day VaR with a confidence level of 95% is 1.5 million. Using the...

Suppose that the one-day VaR with a confidence level of 95% is 1.5 million. Using the assumption that the distribution of portfolio value changes is normal with mean zero, the one-day 99% VaR, the 10-day VaR and the 250- day VaR

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Expert Solution

Z value for 95% is 1.65

Z value for 99% is 2.33

one-day 99% VaR=1.5/1.65*2.33=2.11818 million

10-day 99% VaR=2.11818*sqrt(10)=6.69827 million

250-day 99% VaR=2.11818*sqrt(250)=33.49137 million

jeff jeffy answered 2 years ago
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