问题如下：
Based on Exhibit 1, the daily 5% VaR estimate is closest to:
选项：
A.1.61%
2.42%.
2.69%.
解释：
C is correct. Measuring VaR at a 5% threshold produces an estimated value at risk of 2.69%.
From Exhibit 1, the annual portfolio return is 14.1% and the standard deviation is 26.3%. Annual values need to be adjusted to get their daily counterparts.Assuming 250 trading days in a year, the expected annual return is adjusted by dividing by 250 and the standard deviation is adjusted by dividing by the square root of 250.
Thus, the daily expected return is 0.141/250 = 0.000564 and volatility is 0 263/ the square root of 250. = 0.016634.
5% daily VaR = E(Rp) – 1.65σp = 0.000564 – 1.65(0.016634) = –0.026882. The portfolio is expected to experience a potential minimum loss in percentage terms of 2.69% on 5% of trading days.
为什么5%对应的是1.65而不是1.96呢？
