PRMIA 8008 Question Answer
A risk analyst analyzing the positions for a proprietary trading desk determines that the combined annual variance of the desk's positions is 0.16. The value of the portfolio is $240m. What is the 10-day stand alone VaR in dollars for the desk at a confidence level of 95%? Assume 250 trading days in a year.
PRMIA 8008 Summary
- Vendor: PRMIA
- Product: 8008
- Update on: Jul 29, 2025
- Questions: 362
