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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?

A. $2.05 million
B. $23 million
C. $17 million
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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?
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I just wanted to share the good news that I passed CFA Level I!!! Thank you for your help - I think the online question bank helped cut the clutter and made a positive difference.
Edward Liu

Edward Liu

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.