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You are a portfolio manager for Bank of America. You want to estimate how much your...

You are a portfolio manager for Bank of America. You want to estimate how much your portfolio might be losing over the next 9 trading days. Suppose the portfolio has a value of $25 million and the daily volatility of 4%.
What is the volatility over a 9 day period?
What is the VaR over a 9 day time period at a 99% confidence level?  

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Answer #1

a. Volatility for n days= * Volatility of 1 day.

Hence for 9 days = * 4% = 12%

b. VAR at 99% confidence level is = Portfolio *2.33

=12%* 25 *2.33 = 6.99 $ million

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