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Assume an FI's Daily Earnings at Risk Are $5000 and That

Question 2

Multiple Choice

Assume an FI's daily earnings at risk are $5000 and that the FI is required to hold its position for 10 days.What is the position's VAR (round to two decimals) ?


A) $5000 * 10 \sqrt10 = $15,811.39
B) $5000 * (101) \sqrt{(10 - 1) } = $15,000.00
C) $5000 \sqrt{\$5000} * 10 = $707.11
D) $5000 \sqrt{\$5000} * (10 - 1) = $636.40

Correct Answer:

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