Consider the following single stock portfolio: Stock ABC has a market position of $200,000 and an annualized volatility of 30%. Calculate the linear VaR with 99% confidence level for a 10 business day holding period. Assume normal distribution and round to the nearest dollar.
Consider the following single stock portfolio: Stock ABC has a market position of $200,000 and an annualized volatility of 30%. Calculate the linear VaR with 99% confidence level for a 10 business day holding period. Assume normal distribution and round to the nearest dollar. A.$11,952; B.$27,849; C.$60,000; D.$88,066