MediumPortfolio & Risk
Value at Risk (Normal)
Goldman SachsMorgan StanleyMillennium Management
A portfolio’s daily return is Normal with mean 0 and standard deviation 2%. What is the 1-day 95% Value at Risk, expressed as a percent of portfolio value? (e.g. 3.29)
Hints
The 95% quantile of a standard normal is ≈ 1.645.
VaR (mean 0) = z · σ.
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