Question #20
Reading: Reading 37 Measuring and Managing Market Risk
PDF File: Reading 37 Measuring and Managing Market Risk.pdf
Page: 7
Status: Correct
Correct Answer: A
Question
Sophia fund is a EUR200 million portfolio of euro zone equities. The expected daily return and standard deviation are 0.179% and 0.22% respectively. The 5% daily VaR is closest to:
Answer Choices:
A. €37,400,000
B. €82,000
C. €368,000
Explanation
5% daily VaR = [0.00179 – (1.65 x 0.0022)] x 200million = €368,000