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As a portfolio manager for Bank of America Merrill Lynch, you are managing a portfolio...

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Finance

  1. As a portfolio manager for Bank of America Merrill Lynch, you are managing a portfolio of $48.50 million. You would like to estimate how much your portfolio might be losing over the next 9 trading days. Suppose the portfolio has a daily volatility of 2.5%.

a. What is 9 day volatility?

(sample answer: 15.50% or 0.1550)

b. What is the VaR (in dollars) over a 9 day time period at a 95% confidence level?

(Sample answer: $2.5 million; or $2,500,000.0)

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