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1 day VaR of a portfolio is $500,000 with 95% confidence level. In a period of...

1 day VaR of a portfolio is $500,000 with 95% confidence level. In a period of six months (125 working days)
how many times the loss on the portfolio may exceed $500,000?

A. 4 days
B. 5 days
C. 6 days
D. 7 days
E. none of the above

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Answer #1

Answer: E. none of the above

95% confidence level means, loss may exceeds the given level of $500,000 on 5(100-95) days out of 100.

Then out of 125 working days, loss exceeds the given level by 6.25 days (5/100 * 125)

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