Value at Risk - statistics/economics
Sophie is a moderate investor who maintains her portfolio of U$50,000.00 with an average daily return of 0.1% and a daily standard deviation of 1.2%.
Under these conditions, the maximum daily loss estimate, with a confidence level of 95%, taking as a measure of the parametric VaR is approximate:
a) U$ 510,00
b) U$ 750,00.
c) U$ 940,00.
d) U$ 1150,00.