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Gregory Chambers is interested in estimating the daily VAR (with 99% probability) of bank's fixed income portfolio, currently valued at $30 million. The portfolio has the following returns over the past 200 days (ranked from high to low).
1.9%, 1.87%, 1.85%, 1.79%......-1.78%, -1.81%, -1.84%, -1.87%, -1.91%What will be the VAR estimate using the historical method? A. $570,000. B. $978,000. C. $561,000. |