ASSUME A DAILY EXPECTED RETURN OF 0.0448% AND DAILY STANDARD DEVIAT...

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.