题目
A large bank currently has a security portfolio with a market value of $145 million. The daily returns on the bank's portfolio are normally distributed with 80% of the distribution lying within 1.28 standard deviations above and below the mean and 90% of the distribution lying within 1.65 standard deviations above and below the mean. Assuming the standard deviation of the bank's portfolio returns is 1.2%, calculate the VaR(5%) on a one-day basis.
选项
A.$2.87 million
B.$2.23 million
C.$2.04 million
D.Cannot be determined from information given
答案
A
解析
VaR(5%)=1.65×1.2%×145,000,000=2,871,000VaR(5%)=1.65×1.2%×145,000,000=2,871,000