Suppose you are the risk manager of a bank with a trading portfolio of $1 billion. You have just received the latest information about the portfolio allocations made by the trading branch of your bank, who tell you that the portfolio will earn a premium return of 23% over the risk free rate in one year. You have carried out an independent analysis, and find that the return on your portfolio over the next ten days is normally distributed with a mean of 0.77% and a standard deviation of 5%. Find the ten day 1% value at risk for this portfolio.

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The Answer of Suppose you are the risk manager of a bank with a trading portfolio of $1 billion. You have just received the latest information about the portfolio allocations made by the trading branch of your bank, who tell you that the portfolio will earn a premium return of 23% over the risk free rate in one year. You have carried out an independent analysis, and find that the return on your portfolio over the next ten days is normally distributed with a mean of 0.77% and a standard deviation of 5%. Find the ten day 1% value at risk for this portfolio.

Suppose You Are the Risk Manager of a Bank with a Trading