VAR Pristine Quiz..One More

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Joined: Sat Sep 22, 2012 3:00 pm

VAR Pristine Quiz..One More

Postby maheshnath » Mon Oct 08, 2012 7:29 pm

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%.


Finance Junkie
Posts: 356
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Re: VAR Pristine Quiz..One More

Postby content.pristine » Sat Oct 13, 2012 2:47 pm

Hi Mahesh,

This link should solve your query..

Let me know if you have anything further..


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