Iiover the past 6 months the profit and loss recorded by, Ask an Expert

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IIOver the past 6 months, the profit and loss recorded by your trading desk has had a standard deviation of $3 million per trading day. The fluctuations seem to be independent from one day to the next. The Chief Risk Officer would like to know how much money the desk might lose over the next two weeks (10 trading days), so she wants you to compute its Value-at-Risk. Value-at-Risk is the level of loss such that there is only 5% chance of doing worse. That is, VaR is a loss of -1.645 standard deviations. What is your 10-day 5% Value-at Risk?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M93046321

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