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Basic Question 12 of 19
Assume there are 250 trading days in a year. The annual expected return is 10% and the standard deviation is 20%. What is the daily 5% parametric VaR for a $100 million portfolio?
B. $23 million
C. $17 million
A. $2.05 million
B. $23 million
C. $17 million
User Contributed Comments 1
| User | Comment |
|---|---|
| davidt87 | anyone know why they are finding the square root of the standard deviation? did they mistakenly think the question gave us variance? |
I used your notes and passed ... highly recommended!
Lauren
Learning Outcome Statements
explain the use of value at risk (VaR) in measuring portfolio risk;
compare the parametric (variance -covariance), historical simulation, and Monte Carlo simulation methods for estimating VaR;
estimate and interpret VaR under the parametric, historical simulation, and Monte Carlo simulation methods;
describe advantages and limitations of VaR;
describe extensions of VaR;
CFA® 2025 Level II Curriculum, Volume 5, Module 41.