VAR question

Discussion in 'CT8' started by ALEX_AK, Mar 17, 2018.

  1. ALEX_AK

    ALEX_AK Member

    hi guys, I have a question on VAR. Wonder if there is anyone who can solve this?

    Assuming normal distribution,
    Calculate the VaR 95% for an investor with a portfolio of 10m value. Average annual return is 6% and there is a 5% chance that the value of the portfolio will fall by more than 10% over a year.
     
  2. ALEX_AK

    ALEX_AK Member

    Anyone has any idea?
    May I know if this is the right forum to ask?
     

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