题目
Consider the following single stock portfolio: Stock ABC has a market position of $200,000 and an annualized volatility of 30%. Calculate the linear VaR with 99% confidence level for a 10 business day holding period. Assume normal distribution and round to the nearest dollar.
选项
A.$11,952
B.$27,849
C.$60,000
D.$88,066
答案
B
解析
这道题的计算过程如下：「huixue_img/importSubject/1564170388563431424.png」