question archive Imagine that you are managing a trading portfolio worth $130 million
Imagine that you are managing a trading portfolio worth $130 million
Subject:FinancePrice: Bought3
Imagine that you are managing a trading portfolio worth $130 million. The return on your portfolio is normally distributed with an annual standard deviation of 22%. What is the 10-day VAR with 99% confidence?
?year = ?day (250^0.5)
?day = ?year / 2500.5
Hint: VAR (99%) = 2.33 x ?S x ?
Assume there are 250 trading days.
?10-day = ?day x (10^0.5)
