Which of the following statements is correct?
A. Lognormal 95% VaR is less than normal 95% VaR at the 1-day holding period by 0.13%
B. Lognormal 95% VaR is less than normal 95% VaR at the 1-year holding period by 7.91%
C. Lognormal 99% VaR is less than normal 99% VaR at the 1-day holding period by 1.43%
D. Lognormal 99% VaR is less than normal 99% VaR at the 1-year holding period by 13.86%
Answer:B
Which of the following statements is correct?
A. Lognormal 95% VaR is less than normal 95% VaR at the 1-day holding period by 0.13% B. Lognormal 95% VaR is less than normal 95% VaR at the 1-year holding period by 7.91% C. Lognormal 99% VaR is less than normal 99% VaR at the 1-day holding period by 1.43% D. Lognormal 99% VaR is less than normal 99% VaR at the 1-year holding period by 13.86%
Explanation: Annual return = 0.15; Daily return = 0.15/252 = 0.000595