## VAR Pristine Quiz..One More

maheshnath
Posts: 7
Joined: Sat Sep 22, 2012 3:00 pm

### VAR Pristine Quiz..One More

Since the below data is the discrete distribution for worst 10 returns out of the 100, once we arrange the same starting worst first, wanted to reconfirm, if the 95% Var is the 95th item i.e. -0.7 OR is it the 5th Worst item i.e.-1.0..Getting a bit confused here..

14. You are the risk manager of a fund. You are using the historical method to estimate VaR. You find that the worst 10 daily returns for the fund over the period of last 100 trading days are -1.0%, -.3%, -0.6%, -0.2%, -2.7%, -0.7%, -2.9%, 0.1%, -1.1%, -3.0%. What is the daily VaR for the portfolio at the 95% confidence level?
A. -0.6%
B. -0.7%
C. -1.0%
D. -3.0%
Ans: C.
The daily VaR at 95% confidence level is given by the fifth worst loss over the period which is -1%.

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Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

### Re: VAR Pristine Quiz..One More

Hi Mahesh,

topic670.html

Let me know if you have anything further..