Suppose that the gain from a portfolio during six months is normaly distributed with a mean...

Suppose that the gain from a portfolio during six months is normaly distributed with a mean of R3.5 million and a standard deviation of R12 million. Calculate and interprete the VAR of the portfolio with a 99% confidence level

Expert Solution

var at 99% confidence level = mean*sd*2.33

=3.5mn*12mn*2.33

=97.86mn

Interpretation - There is 1% probablity that the loss from portfolio will be more than 97.86mn

jeff jeffy answered 2 years ago

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