6. Assume a daily expected return of 0.0448% and daily standard deviation of 1.066%, In
dollars, which of the following values is closest to the annual 5% parametric VaR for a $100
million portfolio?
A. $16.6 million.
B. $20.2 million.
C. $1.7 million.
Bạn đang xem 6. - CFA 2018 LEVEL 2 PORTFORLIO QUESTION BANK R49 MEASURING MANAGING MARKET RISK Q BANK