CFA Practice Question

There are 119 practice questions for this study session.

CFA Practice Question

Assume a daily expected return of 0.0742% and daily standard deviation of 1.2235%. What is the 1% VaR for a $100 million portfolio?
A. $2.78 million
B. $2.88 million
C. $2.32 million
Explanation: 2.33 x 0.012235 = 0.028508
0.000742 - 0.028508 = -0.027766
Convert -0.027766 to 0.027766
100 million x 0.027766 = 2,776,600

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