题目
Howard Freeman manages a portfolio of investment securities for a regional bank. The portfolio has a current market value equal to USD 6,247,000 with a daily variance of 0.0002. Assuming there are 250 trading days in a year and that the portfolio returns follow a normal distribution, the estimate of the annual VaR at the 95% confidence level is closest to which of the following?
选项
A.USD 32,595
B.USD 145,770
C.USD 2, 297,854
D.USD 2,737,868
答案
C
解析
Annual VaR = 6,247,000 × (250^0.5) × (0.0002^0.5) × 1.645 = 2,297,854年化 VaR = 6,247,000 × (250^0.5) × (0.0002^0.5) × 1.645 = 2,297,854