Confidence interval of the value

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A portfolio manager estimates that the volatility of her daily portfolio losses is 1.2%. She also expects this portfolio to bring a loss of -2% per year. Assume that there are 252 trading days in a year. The current value of her portfolio is $10,000,000.

a. Calculate a 5-day VaR ($) at the 95% confidence level

b. What is the 90% confidence interval of the value of this portfolio after 20 days?

c. Suppose the value of a portfolio dropped by $500,000 in 10 days. What is the chance of this happening?

d. Find the number of days, she can hold this portfolio with a 95% confidence that her total loss will not be more than 25%? Show your work. State your answer in number of days

Reference no: EM133121784

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