Suppose that it is determined that a $100 million portfolio could potentially lose $20 million once every 20 trading days What is the Var at 95% and 99% Confidence intervals?
Consider a portfolio of equities worth $1,000,000,000 with an expected daily return of 4% and a daily standard deviation of returns of 0.10%. Assume that all returns are normally distributed. What is the daily VaR on this portfolio at a tolerance threshold of 95%? What is the value at risk over a 27-day period?