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  3. (a) assume you are given the following daily retur

(a) Assume you are given the following daily returns of a fund with value 1000:...

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Finance

(a) Assume you are given the following daily returns of a fund with value 1000: -2%, -1.3%, -0.5%, -0.3%, -3.7%, -5%, -2.9%, 0.1%, -1.1%, -3%

What is the daily VaR for the portfolio at the 99% confidence level given the following probabilities?

P(Z < -1.282) = 0.10

P(Z < -1.645) = 0.05

P(Z < -2.326) = 0.01

(b) If you had to choose between the normal and the lognormal distribution for modelling prices, which distribution would you choose?

Justify your answer.

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