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Quantitative asset management firm

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Joyce Byers is a recent FRM who was hired as a risk manager for a quantitative asset management firm. She has been asked by a senior portfolio manager at the firm to calculate VaR of their positions at a 10 day, 15 day, 20 day, and 25 day horizon. The portfolio manager, Jim Hopper, notices something strange with Ms. Byers' calculations, listed below. Which of the following VaR estimates seems inconsistent with the others?

HINT: Remember the rule for scaling daily VaR!

Group of answer choices

VaR(10-day) = $336mm

VaR(15-day) = $542mm

VaR(20-day) = $626mm

VaR(25-day) = $700mm

Reference no: EM133076138

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