Thiago W.

asked • 07/20/21

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.


1 Expert Answer

By:

Thiago W.

Thank you, Mr. Al Y. I watched so many videos but your explanation, by TEXT, was great! Thank you!
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07/20/21

Al Y.

tutor
No problem, glad this helped!
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07/20/21

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