If a 1-day 95 percent VAR is $5 million, the 250-day 99 percent VAR level would be closest to: A. $55.89 million. B. $83.84 million. C. $21.00 million. D. $111.79 million.
First it is necessary to adjust for confidence levels (2.326/1.645), then by days (√250). In this case, ($5 million)(2.326/1.645)(√250) = $111.79 million.
