## Answers

VaR Tables of the Portfolio :

Confidence Interval | Daily Var | Monthly Var |

95% | 1.10 | 5.37 |

Var Value confirms Chances of loss (1- Confidence Interval) More than Var value in Each time frame.

Here Daily Var 1.10 in 95% CI confirms 5% instances of loss more than $ 1.10 in each trading days.

Answer:

a) a minimum daily loss of $1.10 million over the next year -(Wrong Answer) - Daily VaR confirms $ 1.1 Million or more will be loss in case of 1 - 95% = 5% case.

b) a loss over one month equal to or exceeding $5.37 million 5% of the time.(True ) - Monthly VaR confirms $ 5.37 or higher loss in a month 5% of the time.

c) an average daily loss of $1.10 million 5% of the time during the next 250trading days. - (True) - Daily VaR confirms $ 1.1 Million or more will be loss in case of 1 - 95% = 5% case. for each trading day

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