Assume the dollar market value of an FI's position is $200 000 and the calculated price volatility is 1.25 per cent. What is the VAR of the position if the FI is required to hold the position for 6 days (round to two decimals)?

Question

Quizplus · Accepted Answer

The VAR (Value at Risk) is calculated as the market value multiplied by the price volatility and the square root of the holding period. VAR = $200,000 * 0.0125 * sqrt(6) = $6,123.72.

Assume the Dollar Market Value of an FI's Position Is