Rational Investment Inc. is estimating a daily VaR for its fixed income portfolio currently valued at USD 800 million. Using returns for the last 400 days. (ordered in decreasing order, from highest daily return to lowest daily return), the daily returns are the following: 1.99%, 1.89%, 1.88%, 1.87%, …, -1.76%, -1.82%, -1.84%, -1.87%, -1.91%. At the 99% confidence level, what is your estimate of the daily dollar VaR using the historical simulation method?
Rational Investment Inc. is estimating a daily VaR for its fixed income portfolio currently valued at USD 800 million. Using returns for the last 400 days. (ordered in decreasing order, from highest daily return to lowest daily return), the daily returns are the following: 1.99%, 1.89%, 1.88%, 1.87%, …, -1.76%, -1.82%, -1.84%, -1.87%, -1.91%. At the 99% confidence level, what is your estimate of the daily dollar VaR using the historical simulation method? A.USD 14.08m; B.USD 14.56m; C.USD 14.72m; D.USD 15.04m