P3 Test Chapter 4 ( Question 2 &3)

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October 19, 2017 at 12:22 pm #412460
motlanalo
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Hi. I am stuck on Question 2 & 3. VaR. Please see my workings below and advise where I went wrong.Perhaps

Q2.
1 day 95% VaR = 1.65 x $1m = $1 650 000

Q3.
1 day 99% VaR = 2.33 x $1m = $2 330 000
therefore 9day VaR = 1day VAR x ^9
= 2 330 000 x 3
=6 990 000
October 20, 2017 at 10:49 am #412573
Ken Garrett
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See my answer to your posting at the test.
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